DECLARE @ScopeIdentity (ID int);
INSERT INTO @ScopeIdentity
EXEC server.master..sp_executesql N'
  INSERT INTO database.schema.table (columns) VALUES (values);
  SELECT SCOPE_IDENTITY()';
SELECT * FROM @ScopeIdentity;

或者,您可以使用OPENQUERY：

SELECT *
FROM OPENQUERY(server,'
  INSERT INTO database.schema.table (columns) VALUES (values);
  SELECT SCOPE_IDENTITY() AS ID');