First of all, make sure that you on each job step have set up logging to a file, one file per job step. You do this on the advanced page of the job step. The information you see in job history is difficult to read and will be truncated if it is too long.
As for error handling in general in stored procedures, I have an article about this on my web site: Error and Transaction Handling in SQL Server. Actually, it is a multi-part article, but you may let if suffice with Part One, which is short, at first.