How can I check if connection to Sql Server is encrypted?

From TechNet sys.dm_exec_connections DMV: the encrypt_option will display FALSE if the connection is not encrypted.

Here is an example TSQL statement that can be run by administrators (VIEW SERVER STATE is the required privilege):

SELECT session_id, connect_time, net_transport, encrypt_option, auth_scheme, client_net_address 
FROM sys.dm_exec_connections

There are various methods to check the connections :

1. You can use a third party tool like Wireshark which lets you see what's happening on your network at a microscopic level and will help you in getting those encrypted connections.

2. You can also use the Microsoft Network Monitor 3.4 to get those connection details.

3. And as mentioned by travis you can also look at encrypt_option column of the sys.dm_exec_connections DMV

In addition please read the article which will help you understand more on this Encrypting connections in SQL Server 2005 & SQL Native Client with SS