Simple: pick a codec that supports alpha channels, and make darn sure you're actually rendering an alpha channel by checking the render settings after you put it in the AE Render Queue.
You can do that in several ways:
1. Yuu can use dynamic link from AE to PPro - that mean you don't need to render anything from AE. More on that: Adobe Premiere Pro Help | Adobe Dynamic Link
3. Or if you need to render from AE and import footage to PPro you have to render that footage with codec that gives you alpha channel, and you have to turn on alpha in AE export settings. more on that: After Effects Help | Basics of rendering and exporting
Inside the render cue under output module there is a factory default for lossless with Alpha. Use that. After that spend a few minutes studying up on rendering in AE. that's a very broad subject and you cannot achieve any success and let you know what you're doing.