Below is the example where Continue statement is used in While loop.
--USING CONTINUE STATEMENT IN WHILE
DECLARE @CNT INT
PRINT 'THE VALUE IS :'+CAST(@CNT AS VARCHAR(10));
When the count variable equals to 7 and IF condition will be successful and it executes the keyword continue and skips the print statement for value 7. "Continue" skips all the statements after that continue keyword and before the END. It will execute the next iteration.
Hopefully this helps.