• The server's host key was not found in the cache
• Warning - Potential security breach!
• Network error: Connection refused
• No connection could be made because the target machine actively refused it
• Network error: Connection timed out
• Network error: No route to host
• Timeout detected
• Network error: Software caused connection abort
• Host does not exist
• General failure; Error code: 4
• Server unexpectedly closed network connection
• Connection has been unexpectedly closed. Server sent command exit status 1 (or 255 or 0)
• Host is not communicating for more than 15 seconds. Still waiting... Warning: Aborting this operation will close connection!
• Access denied
• Permission denied
• Server sent disconnect message type 2 (protocol error): "Too many authentication failures for root"
• Unable to use this private key file, Couldn't load private key, Key is of wrong type
• Unexpected directory listing line '...'
• Received too large (... B) SFTP packet. Max supported packet size is 102400 B
• Command failed with return code 127 (or 255)
• WinSCP was not able to determine application that was started to open the file. WinSCP cannot watch for changes in the file and thus it will not upload the changed file back
• Error skipping startup message. Your shell is probably incompatible with the application (BASH is recommended)
• Server returned empty listing for directory
• Error listing directory
• Invalid access to memory

SSH code of WinSCP is based on PuTTY. So if you are getting some error message while using SFTP or SCP protocols (particularly while connecting), you may check also the common error messages in PuTTY documentation.