Out-of-band notifications are used to inform users of clients of security policy enforcement actions, such as enforcement of a data loss prevention (DLP) policy. Code for instantiating a notification agent at a client used by a user is inserted into network traffic inbound to the client. Outbound network traffic sent from the client to a server is monitored for compliance with one or more security policies. If it is determined that the network traffic violates a security policy, an enforcement action is taken. An out-of-band notification message describing the enforcement action is inserted into a response to the outbound network traffic and sent to the client. The notification agent at the client receives the notification message and presents the message to the user.