Anything he knew in detail, I think it likely he would have learned from Saruman when the latter began to use the Palantír of Orthanc. If Saruman did not directly tell Sauron, he could have possibly deduced some things he wanted to know anyway, owing to his domination of Saruman's will.
After all, the true nature of the Istari was only known to a select few in Middle-earth, and they were mostly in Rivendell, inaccessible for capture.
Still, Sauron may not have known the entire truth, but it seems he knew or suspected that Gandalf was the prime mover against him, and that he was not a mere Man or Elf. The Mouth of Sauron's words to Gandalf are telling.
Quote:
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'Then thou art the spokesman, old greybeard? Have we not heard of thee at whiles, and of thy wanderings, ever hatching plots and mischief at a safe distance? But this time thou hast stuck out thy nose too far, Master Gandalf; and thou shalt see what comes to him who sets his foolish webs before the feet of Sauron the Great.'
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ROTK The Black Gate Opens
Also, Sauron in his Necromancer guise apparently encountered Gandalf personally before. In
The Tale of Years, Gandalf is said to have first gone to Dol Guldur to investigate the power there in the year 2063, and Sauron "retreats and hides in the East". Maybe he felt something of Gandalf's spirit then, since both were in origin the same order of being.