' выход сразу из всех вложенных циклов …

Sub Lbl()   ' … с помощью метки
Dim n1&, n2&, n3&

For n1 = 1 To 2
    For n2 = 1 To 2
        For n3 = 1 To 2
            If n3 = 2 Then GoTo nx
        Next n3
    Next n2
Next n1
nx:
' code
End Sub

Sub NoLbl() ' … без помощи метки
Dim n1&, n2&, n3&, f As Boolean

For n1 = 1 To 2
    If f Then Exit For

    For n2 = 1 To 2
        If f Then Exit For

        For n3 = 1 To 2
            If n3 = 2 Then f = True: Exit For
        Next n3
    Next n2
Next n1
' code
End Sub