With a CTE, specify the external column aliases after the CTE name declaration per the syntax documentation:
WITH CTE_EmDep (Employee, DepartmentName)
AS
(
SELECT BusinessEntityID, Name
FROM HumanResources.EmployeeDepartmentHistory
INNER JOIN HumanResources.Department ON HumanResources.EmployeeDepartmentHistory.DepartmentID = HumanResources.Department.DepartmentID
)
SELECT Employee, DepartmentName
FROM CTE_EmDep;
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