Or if you don't need the flexibility of a calendar table (which is probably what I would use) and you don't care about holidays you could do some simple date math. This will return the last 7 days of any given month.
declare @ThisDate datetime = getdate()
select DATEADD(day, -DayNum, dateadd(mm, datediff(mm, 0, @ThisDate) + 1, 0)) as MyDay
from
( Values(1),(2),(3),(4),(5),(6),(7)) d(DayNum)
order by DayNum desc
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