We consider multidimensional random walks in pyramids, which by definition are cones formed by finite intersections of half-spaces. The main object of interest is the survival probability $\mathbb{P}(τ>n)$, $τ$ denoting the first exit time from a fixed pyramid. When the drift belongs to the interior of the cone, the survival probability sequence converges to the non-exit probability $\mathbb{P}(τ=\infty)$, which is positive. In this note, we quantify the speed of convergence, and prove that the exponential rate of convergence may be computed by means of a certain min-max of the Laplace transform of the random walk increments. We illustrate our results with various examples.