I have looked around and I have not yet found a reference to the Borg and whether or not they have traveled outside of the Milky Way Galaxy. I know the in TNG episode 5 in season 1, the Traveler pushed the Enterprise two or three galaxies over. With the Borg and their consistent abilities like discovering Species 8472 in fluidic space, I would think they also have travelled beyond the Milky Way as well.
The Borg have not, as of current writing, ever travelled outside of the Milky Way galaxy, inter-dimensional travel excepted. They have obviously left the universe to travel to fluidic space. They could likely make it to the Magellanics with their trans-warp technology, but the galactic barrier might give them some trouble, as it gave the Federation.
Bear in mind, the Borg are still relatively confined in a single quadrant of our galaxy, and are technologically inferior to species like the Voth, and their physical evolution is far behind that of a Q or the Traveller.
In the episode "Gift" (the one where Kes leaves), Seven describes to Harry Kim a cluster of galaxies where the Borg assimilated some species.
Harry Kim: "You said the Borg got this stuff from Species 259. Who were they? ... I guess the Borg meet a lot of people, don't they? Stupid question... So what's it like out there in galactic cluster three?"
Seven of Nine: "Beyond your comprehension."
HK: "Try me."
Seven of Nine: "Galactic cluster three is a trans-material energy plane intersecting 22 billion omni-cordial lifeforms."
HK: "Oh. Interesting."
So, I would be inclined to believe that yes the Borg have traveled outside the Milky Way. Especially if they happened to assimilate immigrant ships/lifeforms from other galaxies that have made their way to the Milky Way (such as the Gekli).
There's no reason to believe that the Galactic Barrier would be a problem for trans-warp capable species. There's also no reason to believe that an entity like the Borg, with a nasty thirst for knowledge, wouldn't send scout ships to do recon in other galaxies ahead of invasion forces, then re-merge with the rest of the collective when they get their subspace amplifiers and trans-warp hubs in place.
The designation galactic cluster was just that. A designation. While a galactic cluster is a area comprised of hundreds to thousands of galaxies, galactic cluster 3 was merely a different phase of already known space to the borg. As was the fluidic space of galactic cluster 8, known for the fluidic space of species 8472. The only time anyone has gone outside of the Milky Way galaxy was by aid of "The Traveler" from TNG.
The Borg have not, under any official canon ever left the Milky Way Galaxy. For those of you that do not follow, or have no looked up the term "galactic cluster" mentioned previously by Seven of Nine, in the above posts; A galactic cluster is a group of hundreds to thousands of star systems held together by gravitational pull. When referenced in Star Trek however, it was an inaccurate portrayal, as the Borg merely used the term to describe the space coexisting in a parallel plane or dimension of space. Galactic Cluster 3, as mentioned by Seven of Nine was the Borg designation for a transmaterial energy plane intersecting 22 billion omnicordial lifeforms.
The Borg encountered Species 259 in Galactic Cluster 3. They assimilated autonomous regeneration sequencers from this species, a technology later installed by the Borg aboard the USS Voyager in 2374. (VOYAGER:"The Gift")
Memory Alpha describes a galactic cluster as a type of "Spatial Domain". Given that this is the "only" reference to what might be considered intergalactic travel within the canon information in Star Trek with relation to the Borg, it becomes clear that the only way that it could be construed as being intergalactic is; if you count the spatial domain entered as being in a separate galaxy. Which without any evidence to support it, we very well can not. This includes Galactic Cluster 8. The fluidic space of species 8472.
In conclusion; no. The Borg have never (by canon) traveled outside of the Milky Way Galaxy. The only known beings to travel intergalactically were the crew of the Star Ship Enterprise 1701-D with the aid of the "Traveler" who was skilled in his ability not for his racial abilities. But instead, due to what he claimed to be a higher level of thought. With his aid, the Enterprise traveled to the Triangulum Galaxy, (over 3 million Light years away. and later to the "End of the Universe" a billion light years from the Milky Way Galaxy. (TNG: Where No One has Gone Before)