The Bell Theorem shows that any local hidden variable theory wouldn't match the experimental data we already have.
There's other options for getting around the weirdness of the Copenhagen interpretation that aren't ruled out by the data we have, but most of them are even weirder.
The many-worlds interpretation is arguably simpler than the Copenhagen interpretation because it gets rid of the collapse postulate. And depending on how literally you take the Copenhagen interpretation, it may not even be self-consistent. At best it provides no explanation how the apparent collapse of the wave function happens, at worst it suggests that the world evolves according to two fundamentally incompatible laws, unitary time evolution and probabilistic projection onto eigenstates during measurement.
I don't want to argue for the many-worlds interpretation, I don't really like - and I am aware that this is a somewhat stupid thing to say about a physical theory. But I also have to admit that it makes sense from a point of simplicity and consistency and compares favorable to other interpretations.
There's other options for getting around the weirdness of the Copenhagen interpretation that aren't ruled out by the data we have, but most of them are even weirder.