If the labels are in a subcontrol then you’d have to do this recursively:
void initControlsRecursive(ControlCollection coll)
{
foreach (Control c in coll)
{
c.MouseClick += (sender, e) => {/* handle the click here */});
initControlsRecursive(c.Controls);
}
}
/* ... */
initControlsRecursive(Form.Controls);