Begin Try
      exec('EXECUTE (''Drop temporary table if exists t'') At ' + @aLinkedServer); 
    End Try Begin Catch 
      Set @LogMsg = error_message();
    ...

exec('show warnings') at LinkedMySQL
или
exec('show errors') at LinkedMySQL

...
End Try Begin Catch
  Declare @t Table(l binary(100), c numeric(10, 0), m binary(1000));
  Insert Into @t Execute ('show errors') at MySQL;
End Catch;

End Try Begin Catch
  Declare @t Table(l binary(100), c numeric(10, 0), m binary(1000));
  Select @SQL = 'Select * From openquery(LinkedMySQL, ''show errors'')';
  Insert Into @t Exec(@sql);
  Select Convert(varchar(1000), m) From @t;
End Catch;

End Try Begin Catch
     Declare @t Table(l Varchar(20), c int, m varchar(500));
     Insert Into @t Exec('Select * From openquery(' + @aLinkedServer + ', ''show errors'')');
     Select l,c,m From @t;
End Catch;