As @gbn points out in another answer and on another question, "the XML data is stored internally as ucs-2", and SQL Server doesn't include it when producing the data. However, you can convert the XML to a string and append the XML declaration at the beginning manually. However, simply using UTF-8 in the declaration would be inaccurate. The Unicode string which SQL produces is in UCS-2. For example, this will fail:
SELECT CONVERT(xml,N'<?xml version="1.0" encoding="UTF-8"?>' + CONVERT(NVARCHAR(MAX),CONVERT(XML,N'<x>' + NCHAR(10176) + N'</x>')));
with error:
Msg 9402, Level 16, State 1, Line 1 XML parsing: line 1, character 38,
unable to switch the encoding
This, on the other hand, will work as expected:
SELECT CONVERT(xml,N'<?xml version="1.0" encoding="UCS-2"?>' + CONVERT(NVARCHAR(MAX),CONVERT(XML,N'<x>' + NCHAR(10176) + N'</x>')));
Here is code which will produce the full, declaration-laden XML string you seek for your example data:
DECLARE @Agents TABLE
(
AgentID int,
AgentName nvarchar(50),
AgentLocation nvarchar(100)
);
INSERT INTO @Agents (AgentID, AgentName, AgentLocation) VALUES (1, N'Mike', N'Sanfrancisco');
INSERT INTO @Agents (AgentID, AgentName, AgentLocation) VALUES (2, N'John', N'NY');
WITH BaseData AS
(
SELECT
(
SELECT
AgentID AS '@id',
AgentName AS 'Name',
AgentLocation AS 'Location'
FROM @Agents
FOR XML PATH('Agent'), ROOT('Agents'), TYPE
) AS AgentXML
), FullStringTable AS
(
SELECT
*,
'<?xml version="1.0" encoding="UCS-2"?>' +
CONVERT(nvarchar(max),AgentXML) AS FullString
FROM BaseData
)
SELECT
AgentXML AS OriginalXML,
FullString,
CONVERT(xml,FullString) AS FullStringConvertedToXML
FROM FullStringTable;