The following list shows which engines support the WITH clause and which don't:
- MariaDB: Not supported
- MySQL: Not supported
- PostgreSQL: Supported since PostgreSQL 8.4
- SQLite: Supported since 3.8.3
- Db2 LUW: Supported since 8 (year 2000)
- Oracle: Supported since 9iR2
- Microsoft SQL Server: Supported since 2005
Note that in PostgreSQL, a CTE can even support writes (INSERT, UPDATE, and DELETE clauses). There is no other database I am aware of that can actually do that.