All the answers did not work for me with Mui 5.X.

What actually worked to change the background color of the sticky header is the following

<Table stickyHeader sx={{'& th': {backgroundColor: 'blue'}}}>

and as theme override

MuiTable: {
    styleOverrides: {
        stickyHeader: {
            '& th': {
                backgroundColor: 'transparent',
            },
        },
    },
},