Application Insights - Capture Headers

HeaderTelemetryInitializer.cs

using Microsoft.ApplicationInsights.Channel;
using Microsoft.ApplicationInsights.Extensibility;
using System.Collections.Generic;
using System.Web;

namespace AppInsightsHeaders
{
    public class HeaderTelemetryInitializer : ITelemetryInitializer
    {
        public List<string> RequestHeaders { get; set; }
        public List<string> ResponseHeaders { get; set; }

        public HeaderTelemetryInitializer()
        {
            RequestHeaders = new List<string>();
            ResponseHeaders = new List<string>();
        }

        public void Initialize(ITelemetry telemetry)
        {
            var context = HttpContext.Current;
            if (context == null)
            {
                return;
            }
            if (context.Request != null)
            {
                foreach (var headerName in RequestHeaders)
                {
                    var header = context.Request.Headers[headerName];
                    if (header != null)
                    {
                        telemetry.Context.Properties.Add($"request-{headerName}", header);
                    }
                }
            }
            if (context.Response != null)
            {
                foreach (var headerName in ResponseHeaders)
                {
                    var header = context.Response.Headers[headerName];
                    if (header != null)
                    {
                        telemetry.Context.Properties.Add($"response-{headerName}", header);
                    }
                }
            }
        }
    }
}

Initialization.cs

            TelemetryConfiguration.Active.TelemetryInitializers.Add(
                new HeaderTelemetryInitializer
                {
                    RequestHeaders =
                    {
                        "Accept"
                    },
                    ResponseHeaders =
                    {
                        "Content-Type"
                    }
                });