There are two types of diagnostics available to us within Power BI and Power Query editor. Power BI desktop has the ability to record crash dump files that contain much more information than an error dialogue might present. This functionality has to be turned on in diagnostic options within options and settings. As well as error tracing, we can also enable crash dump collection that will record detailed errors if Power BI desktop freezes and crashes on you. 

I'll just enable tracing and then try to connect an SQL Server instance on a non-existent server. In this case, the error dialogue is very descriptive, and the information comes directly from SQL Server but let's go and have a peek at the trace files to see what they look like. Go back into diagnostics and options and settings and click on the open crash dump traces folder link. The Microsoft mash-up container folders is produced by the Power BI query engine, whereas the PBI desktop file is created by the Power BI desktop application. 

The PBI file's size shows as 0 kB and won't be populated until you close Power BI desktop. Because this is a data error as opposed to an application error, I'll open up the larger of the mash up container files. You can use any text editor to have a look at the trace file, and I'm using visual studio code. It's quite easy to see that there are two error lines in the file, and if I scroll across to the right-hand side, sure enough, we have a detailed message telling us what we already know, and that is the server cannot be found. If you are only interested in the mashup files and don't close Power BI desktop, remember to uncheck enable tracing once you've finished having a look at your trace files; otherwise, Power BI will continue to produce them while it remains open.

It's Query diagnostics within Power Query editor that's going to be more useful on a day-to-day basis. Under the Tools tab, you can start recording diagnostic data with the start diagnostics button before performing some action like refreshing or pulling your data. I'll start recording diagnostics and then refresh the preview. Once I've finished, I'll stop diagnostics, and we can see a new diagnostics folder is created with three files and it. 

If this was a purely imported model instead of direct query with an aggregation, we just have two files, a diagnostic and a diagnostic detail. Query column relates to the table in the query's pain on the left, while the category column groups the operation type, found in the operation's column. There is a plethora of information available in these diagnostic files. You may want to create visualizations to help you interpret and easily pinpoint issues with your DAX queries and data loading procedures.