Handle global exception in console application when exception is coming from another method of another class file to main method of program class

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C#

we have one console application in which we have another class library that contains all the business functions in which we are using in main method of program file into that we are getting errors but that is not able to handle.

I find below code to add in program file to handle exception and create handler MyExceptionHandler.

AppDomain currentDomain = AppDomain.CurrentDomain;
currentDomain.UnhandledException += new UnhandledExceptionEventHandler(MyExceptionHandler);

In my project this only works when I have exception in Main method of program file, but when I have exception from Method of business function class it's not handling it.

Please suggest a better way to handle global exception.

What I have tried:

AppDomain currentDomain = AppDomain.CurrentDomain;
currentDomain.UnhandledException += new UnhandledExceptionEventHandler(MyExceptionHandler);