Actually, there's a common mechanism in languages for breaking out of any block, you throw a hissy-fit a.k.a Exception; just make sure you catch it and resume your flow.
It all depends what context you find yourself in (coding-standards, performance etc).
It's not as clean as LABELS & JUMP/GO_TO in some languages, but does the trick, I don't mind it.
from builtins import Exception
class JumpingAround(Exception):
    def __init__(self, message=None, data=None, *args, **kwargs):
        super(Exception, self).__init__(message, *args, **kwargs)
        self.data = data
try: #surrounding the IF/BLOCK you want to jump out of
    if (r.status_code == 410):
        s_list = ['String A', 'String B', 'String C']
        for x in s_list:
            if (some condition):
                print(x)
                # break
                raise JumpingAround() # a more complex use case could raise JumpingAround(data=x) when catching in other functions 
        print('Not Found')
except JumpingAround as boing:
  pass