You can use the BREAK and CONTINUE statements to control the execution of the statements inside a WHILE loop. The BREAK statement causes an exit from the WHILE loop.Any statemens that appear after END keyword, that marks the end of the loop, are executed after the BREAK statement is executed.The CONTINUE statement causes the WHILE loop to restart, skipping any statements after CONTINUE inside the loop.

Example:

DECLARE @count int
SELECT @count=11
WHILE @count > 0
BEGIN
SELECT @count=@count-1
IF @count=4
BEGIN
BREAK
END
IF @count=6
BEGIN
CONTINUE
END
PRINT @count
END

OUTPUT:
10
9
8
7
5