Every time SQL Server Agent is started, the current SQL Server Agent error log is renamed to SQLAgent.1; SQLAgent.1 becomes SQLAgent.2, SQLAgent.2 becomes SQLAgent.3, and so on. sp_cycle_agent_errorlog enables you to cycle the error log files without stopping and starting the server.
This stored procedure must be run from the msdb database.
Error on executing of sp_cycle_agent_errorlog
Msg 22022, Level 16, State 1, Line 0
SQLServerAgent Error: Access is denied.
Each time the stored procedure was run it just overwritten the current agent log without renaming it and because of this only one SQLAGENTOUT file was left.