Agregar una clave externa a la tabla existente

ALTER declaración para múltiples FOREIGN KEYS No funciona.

Cada CONSTRAINT debe agregarse individualmente:

CREATE TABLE Gust ( Gust_ID INT PRIMARY KEY, First_Name VARCHAR(50), Last_Name VARCHAR(50), Email VARCHAR(20), phone_number INT, Address VARCHAR(30) );
CREATE TABLE Reservation ( Reservation_ID INT PRIMARY KEY, Start_Date Date, End_Date Date );
CREATE TABLE RoomType ( RoomType_ID INT NOT NULL PRIMARY KEY, Class VARCHAR(10), ExtraPrice INT );

CREATE TABLE Room(Room_ID int PRIMARY KEY, Price INT, Reservation_ID int,Gust_ID int );

ALTER TABLE Room ADD FOREIGN KEY (Room_ID) REFERENCES RoomType(RoomType_ID);

ALTER TABLE Room ADD FOREIGN KEY (Reservation_ID) REFERENCES Reservation(Reservation_ID); 
-- the table Room is assumed to have a column Reservation_ID 

ALTER TABLE Room ADD FOREIGN KEY (Gust_ID) REFERENCES Gust(Gust_ID);
    -- the table Room is assumed to have a column Gust_ID

Si no se desea un nombre de restricción generado por el sistema, entonces use estos;

ALTER TABLE Room ADD CONSTRAINT fk_RoomType_ID FOREIGN KEY (Room_ID) 
                                               REFERENCES RoomType(RoomType_ID);

ALTER TABLE Room ADD CONSTRAINT fk_Reservation_ID FOREIGN KEY (Reservation_ID) 
                                                REFERENCES Reservation(Reservation_ID); 

ALTER TABLE Room ADD CONSTRAINT fk_Gust_ID FOREIGN KEY (Gust_ID) 
                                           REFERENCES Gust(Gust_ID);

puede ser preferible.

PD :

• No usar NOT NULL con PRIMARY KEY , PRIMARY KEY ya incluye NOT NULL .
• La longitud no se puede definir para un INT columna.