When you need to traverse through a reference field, you can use a dot operator to get the related object's fields. In this case this would be
Owner.CompanyName because this is a standard reference field.
Similarly lets say if this would have been a custom reference field called
Owner__c on Lead; with the relationship name as Owner__r, syntax to get the reference field would have beeen
The actual query would look like below-
SELECT Id, Name, OwnerId, Owner.CompanyName From Lead LIMIT 10
The query you are trying to write is used to retrieve child object's records along with the record of current object.