One criticism of Bush's Iraq War is that we invaded without an exit plan.
Did the Allies have an exit plan when we entered World War II?
Of the five major allies, three (China, the USSR and the USA) didn't 'enter' WWII until they were attacked by the Axis, so the question doesn't really apply - their entry was forced upon them, rather than being a matter of choice. The exit plan was "stop these fuckers from attacking us again".
France was also pretty much compelled to join the war, as they shared a border with Germany, and the German desire to expand until they occupied all of mainland Europe had become clear even to the most optimistic pacifists by that point.
So of the five, only the UK had the option to stay out of the war, without a direct and immediate expectation of being attacked whether they wanted peace or not. But that's only true if you take the narrow, modern, post-Suez view that the UK is synonymous with the Home Islands. In 1939, the British Empire was a global entity, and both Japan and Germany were directly threatening many parts of their imperial territory.
The British and French strategy in 1939 was the use of war as an extension of diplomacy, and their goal was the reversal of the German/Soviet invasion and carve-up of Poland through the Molotov-Ribbentrop pact. The exit strategy was more of a 'not entering too far' strategy. By declaring war, they could use the Royal Navy to blockade Germany, in the hope that Hitler would say "Sorry for invading Poland. I'll go home now, and promise not to do it again". Until the Germans invaded France, the war between Britain and Germany was almost exclusively a naval war, in which both nations attempted to blockade the other to force them to capitulate. So the British 'exit strategy' was to force the German borders back into their post-Versailles positions (or a reasonable facsimile thereof), at which point the war could be ended with a gentleman's agreement, and they could return to trying to mold the world via less noisy diplomacy.
Of course, once the Germans started dropping bombs on London, the only possible exit strategy was unconditional surrender of their enemies. It was like 9/11 happening every day, for eight months. Nobody was going to pursue a diplomatic solution that left the Nazis in power after that.