If you are asking about the bootup messages that occur between the START [NO]RECOVERY command and the time system logging is initialized then you want to run the CONMSG.MPEXL.TELESUP program. It produces a flat file in the current group/account named CONDUMP.

However, this will usually skip over many messages because of memory limitations, to which Doug Werth, Mark Bixby and Stan Sieler:

The problem is that the memory structure allocated to hold the console messages generated during bootup is of static size and is memory resident. There is one method you can use to get a bigger structure, but note that this uses more memory (for the lifetime of the bootup of MPE) and also generates many more messages (particularly during the system-configuration step). Do

START NORECOVERY MESSAGE

The keyword MESSAGE will cause the memory structure to be much bigger and to generate many more lines of output. This is not recommended as a matter of course, because you eat considerably more memory.