Season 1
During season 1, Sandro is regularly left behind and given wild goose-chase tasks to keep him busy. He's not great at stealth missions and keeps being too polite and friendly with their enemies, so, he gets the boot more often than not. When not on missions, Sandro is excitedly following around Leo and they're bouncing off of each others energies. They're always at each others side, to the point where Sandro sleeps in Leo's room (which he had been doing since they were tots).
Sandro, like Raph, unlocked his ninpo early Season 1. At the time, he could only climb and stand/sit on walls. Like Spiderman!
During the fight against Draxum to try and stop him from awakening Shredder, Sandro felt helpless and afraid for the first time.
Season 2
In the beginning of Season 2, fighting Shredder made him realize that he was afraid that he didn't know anything about himself.
Because of this, Sandro made the decision to leave home and roam around to try and figure out who he is. His family supported him in this and after a teary goodbye, Sandro left home. He spent most of his time going through the Hidden City making new friends and learning how to master his ninpo; which he realized was much more powerful than simply walking on walls.
A call from April telling him that they were going to fight the Shredder and save his father solidified the fact Sandro was ready to go home. He appeared in the climax of the fight and helped his family defeat the Shredder. He happily stays at home, still sleeping in Leo's room, and enjoys trying to learn more about himself while supporting his little brother as the new leader of the team.
Movie
During the movie, Sandro desperately tried to keep motivating Leo to be the best leader he could be. Leo was uncharacteristically stressed and had a hair-trigger sensitivity to being questioned, but Sandro knew it was the weight of Raph being kidnapped keeping him from being the leader they needed. Despite this, he supported Leo up until they found Raph kraangified.
Sandro desperately tried to tell Leo that they needed to flee and eventually forced his family and Casey Jr. to flee. Leo was understandably upset about this and they got into their first ever argument ever. Sandro, feeling much like the unassured turtle he used to be before he left, relented and apologized for disobeying his brother, feeling responsible for the failed mission. Leo accepted his apology and they set forth a new plan to save Raph.
Sandro was the last brother to stay in the fight with Leo against the Kraang. Because he didn't use his escape pod in the first Kraang fight, he used it on Leo (parralleling Raph) to send him out of harms way and back to the family at the ground. Sandro told Casey Jr. to take the key at the count of ten, and turned off his coms to fight the Kraang because he knew his brothers would yell at him not to fight alone.
Because of Sandro's ninpo manifesting into a tornado and consequentially sucking the Kraang and himself into the prison dimension, he had no time to get out before Casey Jr. tore out the key and locked the prison dimension on him. It was scary at first, but Sandro quickly tried to reason with the Kraang that there wasn't any reason to fight anymore; they were both stuck in the prison dimension. Obviously, the Kraang didn't care.
They fought for a while with Sandro often hiding to rest and getting found easily. After a handful of days, Kraang's explosive rage lessened to a tired anger and Sandro finally got enough reprieve to shyly start mingling with the alien. It took quite a bit, but Sandro finally put himself into the Kraang's favour (even if the Kraang wouldn't admit it out loud) and could simply relax and wait for Leo to save him.
Sandro never once doubted that his brothers would try to get him out of the prison dimension. Because of undisclosed circumstances, Sandro knew that Mikey originally was going to be the one to save him. However, because of his meddling during the Raph kraang fight, Mikey's arms and hands got injured. So, he relied heavily on Leo being able to hopefully make a portal into the dimension.
It took a month before his brothers could get him, and only him, out of the prison dimension.