Qui è un post di MSDN che spiega come farlo utilizzando SMO:
using System.Data.SqlClient;
using System.IO;
using Microsoft.SqlServer.Management.Common;
using Microsoft.SqlServer.Management.Smo;
namespace ConsoleApplication1
{
class Program
{
static void Main(string[] args)
{
string sqlConnectionString = "Data Source=(local);Initial Catalog=AdventureWorks;Integrated Security=True";
FileInfo file = new FileInfo("C:\\myscript.sql");
string script = file.OpenText().ReadToEnd();
SqlConnection conn = new SqlConnection(sqlConnectionString);
Server server = new Server(new ServerConnection(conn));
server.ConnectionContext.ExecuteNonQuery(script);
}
}
}