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<TResult>, 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))