'Setting the date time format to multiple columns of a dataframe at once Python

I have two columns in my DataFrame which I format to a specific time format. It works with two lines of code below but I want to combine into one command

df['Time01'] = pd.to_datetime(Time_01).strftime('%H:%M:%S')
df['Time02'] = pd.to_datetime(Time_02).strftime('%H:%M:%S')

I have tried the following

df[['Time_01','Time_02']].apply(pd.to_datetime, format = '%H:%M:%S')

But get the following error message

None of [Index(['Time_01', 'Time_02'], dtype='object')] are in the [columns]

New python and pandas any help appreciated



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