Sending an EOF
by pressing Ctrl + D should work:
$ python -m pdb myscript.py
> .../myscript.py(1)<module>()
-> import os
(Pdb) import code
(Pdb) code.interact()
Python 2.7.11 (default, Dec 27 2015, 01:48:39)
[GCC 4.2.1 Compatible Apple LLVM 6.0 (clang-600.0.57)] on darwin
Type "help", "copyright", "credits" or "license" for more information.
(InteractiveConsole)
>>> <CTRL-D>
(Pdb) c
...