How to dynamically update labels captions in VBA form?

Use Controls object

For i = 1 To X
    Controls("Label" & i).Caption =  MySheet.Cells(i + 1, i).Value
Next

If you want to use this in VBA:

For i = 1 To X
    UserForm1.Controls("Label" & i).Caption =  MySheet.Cells(i + 1, i).Value
Next