I always use this syntax to create the foreign key constraint between 2 tables
Alter Table ForeignKeyTable
Add constraint `ForeignKeyTable_ForeignKeyColumn_FK`
`Foreign key (ForeignKeyColumn)` references `PrimaryKeyTable (PrimaryKeyColumn)`
i.e.
Alter Table tblEmployee
Add constraint tblEmployee_DepartmentID_FK
foreign key (DepartmentID) references tblDepartment (ID)