I am at a loss here.

    Sub Main()
        Dim sqlConnection As New SqlConnection(ConfigurationManager.ConnectionStrings("db").ToString)
        Dim dbCommand As New SqlCommand("test", sqlConnection)
        dbCommand.CommandType = CommandType.StoredProcedure


        Using ts As New TransactionScope
            Using sqlConnection
                sqlConnection.Open()
                Try
                    dbCommand.ExecuteNonQuery()
                    Console.WriteLine("Success")
                Catch ex As SqlException
                    Console.WriteLine(ex.Message)
                Finally
                    dbCommand.Dispose()
                End Try
                ts.Complete()
            End Using

        End Using

        Console.ReadKey()

    End Sub

 
BEGIN
    Insert    dbo.Table_2
        (Column1)
        Values
        (newid())

    Insert    dbo.Table_1
        (Column1)
        Values
        ('123456')
End

The Try block catches the exception in the second insert statement as it should, but I still get this exception "The COMMIT TRANSACTION request has no corresponding BEGIN TRANSACTION." at the last End Using. I have tried placing Begin Transaction/Commit Transaction around the insert statement, but I get the same exception. What I am doing seems to match all the examples for the TransactionScope class.

 Try moving your Complete() outside of the Using statement for the SqlConnection:

 Using ts As New TransactionScope
            Using sqlConnection
                sqlConnection.Open()
                Try
                    dbCommand.ExecuteNonQuery()
                    Console.WriteLine("Success")
                Catch ex As SqlException
                    Console.WriteLine(ex.Message)
                Finally
                    dbCommand.Dispose()
                End Try
               
            End Using

            ts.Complete()
        End Using