I need to bring in a new 220v circuit to my basement. Once the conduit enters the basement does it need to immediately enter a box like this diagram or can I just continue the wire to outlet box 20’ away.
The box is only required if you're making a connection just inside the wall. For example, you're pulling THHN/THWN wires through the conduit, but you want to run NM-B cable through the walls. In that case the junction between the cables must be in a junction box. If you're continuing with THHN in conduit (through your walls or surface mounted), and you have a continuous run there's no requirement for the box at all. Note that if you've hit the end of your spool of wire and need to join to a new spool, you'll need to make that connection in a JB, no matter what.
If you're simply changing direction, a box, another LB or even a sweep (if there's room in the wall) could be used. As a matter of fact, the short stub of EMT coming out of the LB in the picture could be replaced with a sweep elbow that immediately turns the wire in the direction you need to go. It may not be the easiest pull, but with the LB right there, it shouldn't be difficult.
Disclaimer: I'm not an electrician. This is based off of knowledge gleaned from reading and applying common sense, not an in-depth knowledge of the NEC.