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If you’re looking for SEC enforcement I know they look for financial regulation experience and they do look for prior SEC interns or those who otherwise show they are interested in the mission. Investigation experience would be helpful for enforcement too.
Appellate work is largely the same in a state prosecutor office as it is in a federal agency that litigates matters. DOJs appellate section and USAO appellate know what DA office appellate lawyers do.
The only thing you can really do to stand out is target your cover letter by talking to attorneys that work in the agency you want to move into.
The biggest advantage you have is your relatively low years of experience which makes it easier to be hired within a budget. And that they hope you'll stick around for a while.
Getting hired in a specific agency is a little harder. Many people I know that now work at SEC and FTC either came from a USAO and had handled investigations referred by the agency or they came from a big firm that often went up against the agency.