Correct 'lines terminated by' for query
See the mydata.csv file at bottom of the answer.

I created a table xy

CREATE TABLE `xy` 
(
  `fred` int(11) DEFAULT NULL,
  `mary` int(11) DEFAULT NULL,
  `billy` varchar(50) DEFAULT NULL
);


From the documentation here, I tried this

LOAD DATA INFILE 'mydata.txt' INTO TABLE tbl_name
  FIELDS TERMINATED BY ',' ENCLOSED BY '"'
  LINES TERMINATED BY '\r\n'


But that failed (only one line imported). I changed \r\n to \n (Unix), that was better (all lines imported, but no \ in the VARCHAR field - they were simply deleted).

Further Googling led me here 

So I tried this (from the answer)

LOAD DATA INFILE 'mydata.csv' INTO TABLE xy
FIELDS TERMINATED BY ',' OPTIONALLY ENCLOSED BY '"'
ESCAPED BY ''
LINES TERMINATED BY '\n';


(note ESCAPED BY '' - i.e. nothing - the \ is the default escape character).

And that worked (sample of four lines in table xy below)

|    2 |    3 | asf\dsadfs |
|    2 |    3 | asfdsadfs  |
|    2 |    3 | asfdsadfs  |
|    2 |    3 | asf\dsadfs |


My sample mydata.csv file

2,3,asfdsadfs
2,3,asfdsadfs
2,3,asfdsadfs
2,3,asfdsadfs
2,3,asfdsadfs
2,3,asfdsadfs
2,3,asfdsadfs
2,3,asf\dsadfs
2,3,asfdsadfs
2,3,asfdsadfs
2,3,asf\dsadfs
2,3,asfdsadfs
2,3,asfdsadfs
2,3,a\sfdsadfs
2,3,asfdsadfs
2,3,asfdsadfs