How to switch between terminals in Visual Studio Code?

Go to File → Preferences → Keyboard Shortcuts or just press Ctrl + k + Ctrl + s.

Then click the icon in upper right corner, it opens keybindings.json file:

Try adding the following two entries to this file:

{
    "key": "ctrl+pagedown",
    "command": "workbench.action.terminal.focusNext",
    "when": "terminalFocus"
},
{
    "key": "ctrl+pageup",
    "command": "workbench.action.terminal.focusPrevious",
    "when": "terminalFocus"
}

Note: On Mac change ctrl to cmd