Do the Departments already exist?
If so, retrieve the list of all departments (before the loop).
Inside the loop before creating the Employee add a List Operation and do a Find in the Deparment list. Member is Name and Equals is $iterator_EmployeeDep/DepName. This will return 1 object.
In the Create Employee, you will use this object as the association.
Make sure to create an EmployeeList before the loop. Add all created Employee records to the list and commit outside of the loop (best practice not to commit in the loop)
If the departments do not exist, it is more complex and I could write an instruction tomorrow..
Thank you Micha for the solution on this and for the tip on best practice
Here is how the microflow looks like: