How do I change the color of intersection of headers in datagrid WPF ?

Best place to understand a WPF control is to look at the Default Template. For the DataGrid it can be found here: DataGrid Styles and Templates - WPF .NET Framework | Microsoft Learn[^].

What you are pointing to is the Select All button in the top-left corner of the DataGrid.

Using the link above, that is the DataGridSelectAllButtonStyle. It is the very first style found on the page linked above.

<Style TargetType="{x:Type Button}"
       x:Key="{ComponentResourceKey ResourceId=DataGridSelectAllButtonStyle, 
       TypeInTargetAssembly={x:Type DataGrid}}">
    <!-- trimmed -->
</Style>

Do a search of the template and you can see where it is applied. This is the style that you need to modify.

<ControlTemplate TargetType="{x:Type DataGrid}">
    <!-- trimmed -->
		<Button Focusable="false"
			Command="{x:Static DataGrid.SelectAllCommand}"
			Style="{DynamicResource {ComponentResourceKey 
			ResourceId=DataGridSelectAllButtonStyle, 
			TypeInTargetAssembly={x:Type DataGrid}}}"
			Visibility="{Binding HeadersVisibility, 
			ConverterParameter={x:Static DataGridHeadersVisibility.All}, 
			Converter={x:Static DataGrid.HeadersVisibilityConverter}, 
			RelativeSource={RelativeSource AncestorType={x:Type DataGrid}}}"
			Width="{Binding CellsPanelHorizontalOffset, 
			RelativeSource={RelativeSource AncestorType={x:Type DataGrid}}}" />
    <!-- trimmed -->
</ControlTemplate>

So you need to modify the DataGridSelectAllButtonStyle and apply a new ControlTemplate. There is a link on that page that will direct you on how to create a ControlTemplate and a link to a sample at the bottom of the page.