In my experience, this almost always has to do with linked servers. You need to pay attention to the server that is "executing" the job. More often than not, a query using a connection to a linked server is executing a JOIN that refers back to the server the job is running on.
Bonus: When you run this in dev mode in BI, it runs fine, it only fails as a job. Here's why......
The SQL Job is executing on Server_A
The Execute SQL command is running a query that is using a connection on a linked server (Server_B) (look at the connection in the task, see if it's a different server), finally, the QUERY in that Execute SQL command is SELECTING (or updating or whatever) from a table *local to the connection* ie
FROM TABLE t <----- Is considered a local table because the connection is ON this server according to the Connection Manager
INNER JOIN SERVER_A.database.dbo.TABLE b <----- Is a LINKED server between A and B
ON t.COL = b.COL
The *problem* is that Server A is running the Job, so what is occuring is a full circle loop. A executes, LINKS to B to execute the code, which tries to LINK to A again. It's never obvious, but this "double hop" happens all the time and is sneaky. You can go through all sorts of Kerbos configuration stuff, or just change the server the Query is executing on, and reverse the join. That will fix it.