This can be done by importing the sys module.
As per the documentation,
Exit from Python. This is implemented by raising the SystemExit exception, so cleanup actions specified by finally clauses of try statements are honored, and it is possible to intercept the exit attempt at an outer level.
The optional argument arg can be an integer giving the exit status (defaulting to zero), or another type of object. If it is an integer, zero is considered “successful termination” and any nonzero value is considered “abnormal termination” by shells and the like. Most systems require it to be in the range 0–127, and produce undefined results otherwise. Some systems have a convention for assigning specific meanings to specific exit codes, but these are generally underdeveloped; Unix programs generally use 2 for command line syntax errors and 1 for all other kind of errors. If another type of object is passed, None is equivalent to passing zero, and any other object is printed to stderr and results in an exit code of 1. In particular, sys.exit("some error message") is a quick way to exit a program when an error occurs.
Since exit() ultimately “only” raises an exception, it will only exit the process when called from the main thread, and the exception is not intercepted.