Private Sub DataGridView1_mt_KeyDown(sender As Object, e As KeyEventArgs) Handles DataGridView1_mt.KeyDown

    If e.KeyCode = Keys.Enter Then
    ...

Private Sub DataGridView1_EditingControlShowing(sender As System.Object, e As System.Windows.Forms.DataGridViewEditingControlShowingEventArgs) Handles DataGridView1_mt.EditingControlShowing

    Dim tb As TextBox = CType(e.Control, TextBox)
    AddHandler tb.KeyDown, AddressOf TextBox_KeyDown

End Sub

Private Sub TextBox_KeyDown(ByVal sender As Object, ByVal e As System.Windows.Forms.KeyEventArgs)
    If e.KeyCode = Keys.Enter Or e.KeyCode = Keys.Return Then

        MessageBox.Show("Success")    '''''DOES NOT WORK
    End If
    If e.KeyCode = Keys.Space Then

        MessageBox.Show("Success")    '''''WORKS
    End If
End Sub

If e.KeyCode = Keys.Down Then
        'code
    End If