How to add xml encoding to xml Output in SQL Server

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You have to add it manually. SQL Server always stores xml internally as ucs-2 so it is impossible for SQL to generate it a utf-8 encoding header

See “Limitations of the xml Data Type” on MSDN

The XML declaration PI, for example, <?xml version='1.0'?>, is not preserved when storing XML data in an xml data type instance. This is by design. The XML declaration (<?xml ... ?>) and its attributes (version/encoding/stand-alone) are lost after data is converted to type xml. The XML declaration is treated as a directive to the XML parser. The XML data is stored internally as ucs-2.

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