System.OutOfMemoryException Error

So we had this long running query run by an internal developer to process data. This query had a cursor and output a bunch of stuff after every record was processed. And after a point the query failed with following:

Probably the data out output in SSMS window was too much too handle.
Online solutions do suggest putting the query in a file and then running the file using SQLCMD. Instead here, we created a temporary sql agent job on that database. Dumped the SQL in the job and output data to a text file. The query ran really fast and we had all the data we needed.