He seemed to not want to be executed at first, according to Hebrews 5, 7-8:

7 who in the days of his flesh, offered with a loud cry and tears prayers and petitions to the one able to save him from death, and having been heard because of His reverence, 8 even though Son, learned from the things He suffered obedience,


However, Matthew 26 has Jesus willingly giving himself up to a mob a jews to be taken to Caiaphas, apparently knowing his ultimate fate.


Either way, according to Christian theology there would be no salvation without the execution of Jesus. That being the case, Jesus was obviously in favor of the 'Death Penalty'.