So I have found a workaround: use pymssql instead of pyodbc (both in the import statement and in the engine). It lets you build your joins using database names and without specifying them in the engine. And there is no need to specify a driver in this case.

There might be a problem if you are using Python 3.6 which is not supported by pymssql oficially yet, but you can find unofficial wheels for your Python 3.6 here. It works as is supposed to with my queries.

Here is the original code with joins, rebuilt to work with pymssql:

import pandas as pd
import sqlalchemy as sql
import pymssql

server = '100.10.10.10'
myQuery = '''SELECT first.Field1, second.Field2
           FROM db1.schema.Table1 AS first
           JOIN db2.schema.Table2 AS second
           ON first.Id = second.FirstId'''
engine = sql.create_engine('mssql+pymssql://{}'.format(server))
df = pd.read_sql_query(myQuery, engine)

As for the unofficial wheels, you need to download the file for Python 3.6 from the link I gave above, then cd to the download folder and run pip install wheels where 'wheels' is the name of the wheels file.

UPDATE:

Actually, it is possible to use pyodbc too. I am not sure if this should work for any SQL Server setup, but everything worked for me after I had set 'master' as my database in the engine. The resulting code would look like this:

import pandas as pd
import sqlalchemy as sql
import pyodbc

server = '100.10.10.10'
driver = 'SQL+Server'
db = 'master'
myQuery = '''SELECT first.Field1, second.Field2
           FROM db1.schema.Table1 AS first
           JOIN db2.schema.Table2 AS second
           ON first.Id = second.FirstId'''
engine = sql.create_engine('mssql+pyodbc://{}/{}?driver={}'.format(server, db, driver))
df = pd.read_sql_query(myQuery, engine)

Just reading the documentation of pandas.read_sql_query:

pandas.read_sql_query(sql, con, index_col=None, coerce_float=True, params=None, parse_dates=None, chunksize=None, dtype=None)

Parameters:

• sql: str SQL query or SQLAlchemy Selectable (select or text object) SQL query to be executed.
• con: SQLAlchemy connectable, str, or sqlite3 connection Using SQLAlchemy makes it possible to use any DB supported by that library. If a DBAPI2 object, only sqlite3 is supported.
• ...

So pandas does allow a SQLAlchemy Selectable (e.g. select(MeterValue)) and a SQLAlchemy connectable (e.g. engine.connect()), so your code block is correct and pandas will handle the querying correctly.

with ENGINE.connect() as conn:
    df = pd.read_sql_query(
        sqlalchemy.select(MeterValue),
        conn,
    )

Below is my original answer but since pandas>=2.0.0 is released, now it is enough to update pandas,

pip install --upgrade "pandas>=2.0.0"

Original answer:

As you stated, a workaround is to downgrade to SQLAlchemy<2.0,

pip install --upgrade sqlalchemy==1.4.47

There is already a fix in pandas (https://github.com/pandas-dev/pandas/pull/48576). Either install pandas from git or wait for a new release.

Edit: @DrD pointed out that the commit is already merged and will be part of pandas 2.x, also the comments point to the probability of pandas < 2.0 never supporting SQLAlchemy 2.x.