Proof.
It is clear that we may replace S by an open neighbourhood of \eta and X by the restriction to this open. Thus we may assume S = \mathop{\mathrm{Spec}}(A) where A is a reduced ring and \eta corresponds to a minimal prime ideal \mathfrak p. Recall that the local ring \mathcal{O}_{S, \eta } = A_\mathfrak p is equal to \kappa (\mathfrak p) in this case, see Algebra, Lemma 10.25.1.
Apply Varieties, Lemma 33.25.11 to the scheme X_\eta over k = \kappa (\eta ). Denote k'/k the purely inseparable field extension this produces. In the next paragraph we reduce to the case k' = k. (This step corresponds to finding the morphism V \to U in the statement of the lemma; in particular we can take V = U if the characteristic of \kappa (\mathfrak p) is zero.)
If the characteristic of k = \kappa (\mathfrak p) is zero, then k' = k. If the characteristic of k = \kappa (\mathfrak p) is p > 0, then p maps to zero in A_\mathfrak p = \kappa (\mathfrak p). Hence after replacing A by a principal localization (i.e., shrinking S) we may assume p = 0 in A. If k' \not= k, then there exists an \beta \in k', \beta \not\in k such that \beta ^ p \in k. After replacing A by a principal localization we may assume there exists an a \in A such that \beta ^ p = a. Set A' = A[x]/(x^ p - a). Then S' = \mathop{\mathrm{Spec}}(A') \to \mathop{\mathrm{Spec}}(A) = S is finite locally free, surjective, and universally injective. Moreover, if \mathfrak p' \subset A' denotes the unique prime ideal lying over \mathfrak p, then A'_{\mathfrak p'} = k(\beta ) and k'/k(\beta ) has smaller degree. Thus after replacing S by S' and \eta by the point \eta ' corresponding to \mathfrak p' we see that the degree of k' over the residue field of \eta has decreased. Continuing like this, by induction we reduce to the case k' = \kappa (\mathfrak p) = \kappa (\eta ).
Thus we may assume S is affine, reduced, and that we have a t \geq 0 and closed subschemes
X_\eta \supset Z_{\eta , 0} \supset Z_{\eta , 1} \supset \ldots \supset Z_{\eta , t} = \emptyset
such that Z_{\eta , 0} = (X_\eta )_{red} and Z_{\eta , i} \setminus Z_{\eta , i + 1} is smooth over \eta for all i. Recall that \kappa (\eta ) = \kappa (\mathfrak p) = A_\mathfrak p is the filtered colimit of A_ a for a \in A, a \not\in \mathfrak p. See Algebra, Lemma 10.9.9. Thus we can descend the diagram above to a corresponding diagram over \mathop{\mathrm{Spec}}(A_ a) for some a \in A, a \not\in \mathfrak p. More precisely, after replacing S by \mathop{\mathrm{Spec}}(A_ a) we may assume we have a t \geq 0 and closed subschemes
X \supset Z_0 \supset Z_1 \supset \ldots \supset Z_ t = \emptyset
such that Z_ i \to X is a closed immersion of finite presentation, such that Z_0 \to X is a thickening, and such that Z_ i \setminus Z_{i + 1} is smooth over S. In other words, the lemma holds. More precisely, we first use Limits, Lemma 32.10.1 to obtain morphisms
Z_ t \to Z_{t - 1} \to \ldots \to Z_0 \to X
over S, each of finite presentation, and whose base change to \eta produces the inclusions between the given closed subschemes above. After shrinking S further we may assume each of the morphisms is a closed immersion, see Limits, Lemma 32.8.5. After shrinking S we may assume Z_0 \to X is surjective and hence a thickening, see Limits, Lemma 32.8.15. After shrinking S once more we may assume Z_ i \setminus Z_{i + 1} \to S is smooth, see Limits, Lemma 32.8.9. This finishes the proof.
\square
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