Best way to automate multiple different connection types

Let's say I need to get to a router somewhere but in order to get to it I need to first login to an RDP host via an RDP gateway, then from there RDP into another host, then from there SSH to another device and then finally SSH to the actual device I need to work on.


And maybe somewhere along the line I might need to initiate a VPN connection from within one of the RDP sessions (just to further confuse things). Could I use a macro for this or possibly by executing a command-line script after login?

I figure that with all of the functions, features and options that RDM is capable of, at least some of this must be possible by applying some creative/lateral thinking, I just figured I would check first to see if this (or something similar) has already been achieved so as to not waste time re-inventing the wheel.

Thanks.