How to run a more than 8000 characters SQL statement from a variable?

If you are on SQL Server 2008 or newer you can use VARCHAR(MAX)

DECLARE @sql VARCHAR(MAX)

DECLARE @sql VARCHAR(max)
SET @sql = 'SELECT * FROM myTable'
Exec @sql

Note:

Print(@sql)

only show the first 8000 characters!

The problem is with implicit conversion.

If you have Unicode/nChar/nVarChar values you are concatenating, then SQL Server will implicitly convert your string to VarChar(8000), and it is unfortunately too dumb to realize it will truncate your string or even give you a Warning that data has been truncated for that matter!

When concatenating long strings (or strings that you feel could be long) always pre-concatenate your string building with CAST('' as nVarChar(MAX)) like so:

SET @Query = CAST('' as nVarChar(MAX))--Force implicit conversion to nVarChar(MAX)
           + 'SELECT...'-- some of the query gets set here
           + '...'-- more query gets added on, etc.

What a pain and scary to think this is just how SQL Server works. :(

I know other workarounds on the web say to break up your code into multiple SET/SELECT assignments using multiple variables, but this is unnecessary given the solution above.

For those who hit a 4000 character max, it was probably because you had Unicode so it was implicitly converted to nVarChar(4000).

Warning:
You still Cannot have a Single Unbroken Literal String Larger than 8000 (or 4000 for nVarChar).
Literal Strings are those you hard-code and wrap in apostrophe's.
You must Break those Strings up or SQL Server will Truncate each one BEFORE concatenating.
I add ' + ' every 20 lines (or so) to make sure I do not go over.
That's an average of at most 200 characters per line - but remember, spaces still count!

Explanation:
What's happening behind the scenes is that even though the variable you are assigning to uses (MAX), SQL Server will evaluate the right-hand side of the value you are assigning first and default to nVarChar(4000) or VarChar(8000) (depending on what you're concatenating). After it is done figuring out the value (and after truncating it for you) it then converts it to (MAX) when assigning it to your variable, but by then it is too late.