Press Y to leave
How to access the Grand Underground:
A few hours into the game, roughly after the second gym battle, you’ll come across Eterna City.
It’s here that you’ll be able to enter the “Underground Man’s House,” and gain access to the item you’ll need to dig into the area: what is essentially a series of tunnels below the main map of the game that contains tons of characters. It’s like an enhanced version of the underground from the original titles.
That house is actually located right here (above) next to the Pokecenter. Once you acquire the explorer kit (the item on the right of the quick select menu above), you can use it to dig down.
The biggest collective of characters are going to be in “hideaways,” which are denoted by question mark squares, which fill in once you’ve visited them. Pokemon here are visible in the overworld, much like the Wild Area in Pokemon Sword and Shield.
In the Grand Underground, the main purpose is to locate and catch Pokemon, but you can also create a Secret Base through the digging drill item (bought from NPCs in the underground) and investigate walls that have orange lights flickering on them.
How to get out of the Grand Underground:
The game doesn’t make this obvious, but if you want to leave the Grand Underground for any reason, you can press the “Y” button. It’ll bring up a prompt asking you to “go up” or “close” (cancel).