Handle "InfoMessage" event of SqlConnection object. It will fires when something you write print command in sql statement. For Example
SqlConnection con = new SqlConnection(conString);
con.InfoMessage += new SqlInfoMessageEventHandler(con_InfoMessage);
SqlCommand cmd = new SqlCommand("your_sp"), con);
con.Open();
cmd.ExecuteNonQuery();
con.Close();
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Handle event as
void con_InfoMessage(object sender, SqlInfoMessageEventArgs e)
{
sb.Append("\n" + e.Message);
}