In sagetex, how to avoid italic font for sagecommandline environment within an italic example environment?

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The problem is your definition of the example environment, not sagecommandline itself. In order to correct it, you can use the more standard definition that uses the amsthm package:

\usepackage{amsthm}

\theoremstyle{definition}
\newtheorem{example}{Example}

However, if you really want to keep your current definition, your can surround any part of the text (the sage output, for example) with \bgroup\normalfont and \egroup; however, this is less elegant.

My suggestion is to use amsthm. You can fine-tune every aspect for your environments, and even define new style for common ones. I hope this helps!