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I'm a very green DBA at my company, and ran the sp_Blitz script (on one of our test databases that is an exact copy of our production database), and I only get the message "Command(s) completed successfully.".
Is there a reason why I don't get a more detailed output? Or is the output file written somewhere else?
As Denis Rubashkin said in a comment:
If you had a look at the script text you would see that the script just creates a procedure
sp_Blitz. You have to execute that proc (sample execution call with the most common parameters is in the bottom of thesp_Blitzscript) to get an output you are waiting for.
You just created the procedure, but you still have to execute it. Here's some extra information if you have more questions:
There's a bunch of good resources you can check to get more information about any of the blitz procedures.
If you like to read: This is the official documentation on the procedure, you can probably find everything you need here: sp_blitz documentation
If you rather watch videos: Brent has made some great YouTube videos where he goes through the usage of the of the Blitz procedures.
This one is for the SP_Blitz, but there are also some vids for SP_BlitzIndex / sp_Blitzfirst. (All very useful procedures) Brent Ozars youtube
