Putting newline in matplotlib label with TeX in Python?

You can have the best of both worlds: automatic “escaping” of LaTeX commands and newlines:

plt.ylabel(r"My long label with unescaped {\LaTeX} $\Sigma_{C}$ math"
           "\n"  # Newline: the backslash is interpreted as usual
           r"continues here with $\pi$")

(instead of using three lines, separating the strings by single spaces is another option).

In fact, Python automatically concatenates string literals that follow each other, and you can mix raw strings (r"…") and strings with character interpolation ("\n").