I have an Employee table and an Office table. These are joined in a many-to-many relationship via the EmployeeOffices table.
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The type returned by the delegate you pass to SelectMany must be an IEnumerable, but evidently, Office doesn't implement that interface. It looks like you've simply confused SelectMany for the simple Select method.
I think this is what you want:
foreach (var office in CurrentEmployee.EmployeeOffices.Select(eo => eo.Office))