There is no BREAK
EXIT terminates the loop.
CONTINUE continues at the next iteration of the loop.
You can attach a <<label>> to loops and add it as parameter to each of these commands. Then you terminate / continue the labeled loop. Else, it concerns the inner loop.
RETURN exits from the function (so not applicable in a DO statement).
All of this applies to procedural elements of PL/pgSQL, not SQL.
Code example using all three:
- Loop in function does not work as expected