Tl;dr
Be honest, and use initiative to contact the employer and clarify ambiguities.
The long read
To offer an alternative perspective here, a crucial mistake people often make is to assume that the party putting a question (typically an organisation) has, like Humpty Dumpty in Through the Looking-Glass, the right to decide on the meaning of any words they use, and that the party putting an answer to that question (typically a person conducting their own affairs) has no such right.
In law, the opposite is often the case, as with the contra proferentem rule, where it is the person interpreting the material who is given the benefit of the doubt, not the person drafting the material.
I don't think "who have you been employed by" is any different from "who have you worked for". If the question were legally specific about contractual relations, it could say "have you previously entered into an employment contract directly with companies X, Y, or Z?".
But candidates would usually find this sort of wording vexatious, and difficult to parse precisely because it is legalistic and precise in a way that doesn't correspond to everyday forms of communication. Some might ask what the distinction is between direct and indirect. Legal eagles might wonder whether a transfer of undertaking counts as an "entering into".
As it stands, the question could perhaps be answered in either fashion, by saying either yes or no. A person attributing a legalistic meaning to the word "employed" can rightfully say no, and a person whose contract is with a connected company but who works substantially at a workplace where the name above the door or at the end of the telephone is Company X, can equally say yes.
If there is reason to believe that the company is asking the question for the purposes of establishing a conflict of interest, the bias towards yes answers would also be the most desirable for triggering further enquiries into possible conflicts at the earliest stage.
This is not to promote obtuse or absurd interpretations of words - such as an electrician claiming to have worked for an insurer because he was once called in to fix a light bulb there - but to emphasise that words often carry a range of possible and plausible meanings, and questioners themselves often do not intend a narrowly legalistic meaning, nor are answerers bound (even in law itself) to attribute only a narrow legalistic meaning.
And except amongst practising legal professionals, people cannot be assumed to even have a correct knowledge of the law or the subtle conceptualisations that exist there.
Of course a HR department can play Humpty Dumpty with new applicants, and reject on a whim before they have offered any employment to the applicant, but they can do that equally with candidates who employ legalistic responses to questions which are asked in a broad and commonsense way.
The lesson here for candidates is to be honest, and if there is an appreciable lack of clarity as to how a question applies to particular circumstances, and a job hangs in the balance, then use initiative to seek clarification and reach a meeting of minds with the would-be employer about the purpose of the question.
For those drafting application forms, the lesson is to be prepared to interact. Ensure that you are easily accessible to candidates completing application forms who may have questions, don't make them tiringly long or difficult to parse (as people will start having to economise on the attention paid to any particular answer), and ask questions only at appropriate stages in the process where candidates have enough perceived investment to chase clarifications (or ask simple questions early, but in ways that are unambiguously biased towards getting the things you are trying to find out, and then target further questions later to filter out the things you don't actually care about).