You can't. Backslashes cannot appear inside the curly braces {}; doing so results in a SyntaxError:

>>> f'{\}'
SyntaxError: f-string expression part cannot include a backslash

This is specified in the PEP for f-strings:

Backslashes may not appear inside the expression portions of f-strings, [...]

One option is assinging '\n' to a name and then .join on that inside the f-string; that is, without using a literal:

names = ['Adam', 'Bob', 'Cyril']
nl = '\n'
text = f"Winners are:{nl}{nl.join(names)}"
print(text)

Results in:

Winners are:
Adam
Bob
Cyril

Another option, as specified by @wim, is to use chr(10) to get \n returned and then join there. f"Winners are:\n{chr(10).join(names)}"

Yet another, of course, is to '\n'.join beforehand and then add the name accordingly:

n = "\n".join(names)
text = f"Winners are:\n{n}"

which results in the same output.

Note:

This is one of the small differences between f-strings and str.format. In the latter, you can always use punctuation granted that a corresponding wacky dict is unpacked that contains those keys:

>>> "{\\} {*}".format(**{"\\": 'Hello', "*": 'World!'})
"Hello World!"

_{(Please don't do this.)}

In the former, punctuation isn't allowed because you can't have identifiers that use them.

Aside: I would definitely opt for print or format, as the other answers suggest as an alternative. The options I've given only apply if you must for some reason use f-strings.

Just because something is new, doesn't mean you should try and do everything with it ;-)

You don't need f-strings or other formatters to print a list of strings with a separator. Just use the sep keyword argument to print():

names = ['Adam', 'Bob', 'Cyril']
print('Winners are:', *names, sep='\n')

Output:

Winners are:
Adam
Bob
Cyril

That said, using str.join()/str.format() here would arguably be simpler and more readable than any f-string workaround:

print('\n'.join(['Winners are:', *names]))
print('Winners are:\n{}'.format('\n'.join(names)))

You can't use backslashes in f-strings as others have said, but you could step around this using os.linesep (although note this won't be \n on all platforms, and is not recommended unless reading/writing binary files; see Rick's comments):

>>> import os
>>> names = ['Adam', 'Bob', 'Cyril']
>>> print(f"Winners are:\n{os.linesep.join(names)}")
Winners are:
Adam
Bob
Cyril 

Or perhaps in a less readable way, but guaranteed to be \n, with chr():

>>> print(f"Winners are:\n{chr(10).join(names)}")
Winners are:
Adam
Bob
Cyril