A few modifications and this worked great, thank you!

Yeah, this was all I could think to do, as I'm not sure how to pull the date of the last time the Rag Rating Column Changed.

I think I'd...

Select

[Employee Number],

[Timestamp] = Max([Timestamp])

Into #Current

From [dbo].[Rag Rated Table] as T1

Group By [Employee Number]

Select

[Employee Number],

[Timestamp] = min([Timestamp]),

[RAG Rating]

Into #Previous

From [dbo].[Rag Rated Table] as T1

Group By [Employee Number],[RAG Rating]

/*...