app.module.ts

    providers: [{
      provide: HTTP_INTERCEPTORS,
      useClass: ErrorInterceptor,
      multi: true,
    }]

interceptor

import { Injectable } from '@angular/core';
import { HttpInterceptor, HttpRequest, HttpHandler, HttpEvent } from '@angular/common/http';
import { Observable } from 'rxjs/Observable';
import 'rxjs/add/operator/catch';
import 'rxjs/add/observable/throw';

@Injectable()
export class ErrorInterceptor implements HttpInterceptor {

  constructor() { }

  intercept(req: HttpRequest<any>, next: HttpHandler): Observable<HttpEvent<any>> {
    console.log('req ======= ', req.url);
    const authReq = req.clone({ headers: req.headers.set('customHeader', 'customHeaderValue')});

    return next.handle(req).catch((error) => {
      console.log('Error Occurred', error);
      return Observable.throw(error);
    }) as any;

  }
}