This is one of those features I stumbled across a number of years ago, and it still seems to be a very well-kept secret. You can use the Web Site Map diagram to tell Visio what site to map out. Visio will also X-out every page image where the link is broken.
For more information, check out https://support.office.com/en-ie/article/Take-control-of-your-Web-site-with-Visio-bae87722-a864-4b88-b684-3acc31f5fdaa
I know there are probably site crawlers and link checkers that are more comprehensive and have more whistles and bells to play with. But it’s hard to argue with a tool you may well already have sitting on your desktop.