I am trying to test or check logs of SSO request sent to Salesforce from Auth0 application. But i am not able to find anything related to that. If anyone can help me regarding the same.
You should be clearer in what’s exactly your scenario, but assuming you configured a client application and also a Salesforce connection and want to login to the client application through the Salesforce connection (and in this way benefit from SSO, because the end-user would already be logged in in Salesforce) then the best way to troubleshoot issues with this flow would be to perform a test request with the browser network tool open.
You should see requests coming from the client application to your Auth0 domain, then to Salesforce, back to Auth0 domain and finally back to the client application. This way if anything goes wrong during the process looking at the HTTP request/responses will likely yield the most useful information.