Essentially, that is exactly what I was wondering;

For fun, I wrote a script that would create an index for every foreign key that did not have an index yet; but...

I would suggest using XACT_ABORT; it will automatically rollback a transaction, and stop further statements from executing in the transaction when an error is encountered:

SET XACT_ABORT ON

BEGIN TRAN -- with...

@@fetch_status is the problem here; it doesn't revert back to the outer loops 'previous' fetch status after it complete's the inner loop.

wouldn't @@fetch_status only allow the inner loop to run,...

I just contributed a script that does this; everyone always points at tools to do it, but I felt it was a good challenge to try and write a SQL...