How to throw an exception when using MATLAB C or C++ API

I have a C++ code, which is like:

mexFunction(int nlhs, mxArray  *plhs[], int  nrhs, const mxArray *prhs[])
{
   try{
    // Here is my code
    }catch(...){
        mexErrMsgTxt("Something Wrong");
    }

}

After mex the code, I want to get "Something Wrong" in MTALAB window if any exception was throwed from the "try" part.

However, if there do some errors in the code (inside the try curly bracket), it will crush my MATLAB like

The try-catch seems ineffective in this stuation. So how to throw an exception from C++ to MATLAB if anything wrong?