Print arrays from the middle out

MATL, 18 bytes

_G2$:iZ^t!|X>4#SY)

First input is s, second is n

This works in current version (15.0.0) of the language.

Try it online!

Explanation

_      % take input s implicitly. Negate to obtain -s
G      % push input s again
2$:    % inclusive range from -s to s
i      % take input n
Z^     % Cartesian power. Gives 2D array, with each result on a row
t!     % duplicate and transpose
|      % absolute value
X>     % maximum of each column 
4#S    % sort and push the indices of the sorting
Y)     % apply as row indices into the 2D array. Display implicitly

Jelly, 9 bytes

NRṗµAṀ€Ụị

No list subtraction was used in the making of this post. Try it online!

How it works

NRṗµAṀ€Ụị  Main link. Arguments: s, n

N          Negate; yield -s.
 R         Range; yield [-s, ..., s].
  ṗ        Cartesian power; push all vectors of length n of those elements.
   µ       Begin a new, monadic link. Argument: L (list of vectors)
    A      Compute the absolute values of all vector components.
     Ṁ€    Get the maximum component of each vector.
       Ụ   Sort the indices of A according to the maximal absolute value of the
           corresponding vector's components.
        ị  Retrieve the vectors of A at those indices.

Haskell, 61 60 bytes

n#s=[c|b<-[0..s],c<-mapM id$[-b..b]<$[1..n],any((b==).abs)c]

Usage example: 2#2-> [[0,0],[-1,-1],[-1,0],[-1,1],[0,-1],[0,1],[1,-1],[1,0],[1,1],[-2,-2],[-2,-1],[-2,0],[-2,1],[-2,2],[-1,-2],[-1,2],[0,-2],[0,2],[1,-2],[1,2],[2,-2],[2,-1],[2,0],[2,1],[2,2]].

How it works:

   b<-[0..s]                           -- loop b through 0 .. s
        c<-mapM id$[-b..b]<$[1..n]     -- loop c through all lists of length n
                                       -- made out of the numbers -b .. b
                                       -- ("[-b..b]<$[1..n]" is "replicate n [-b..b]";
                                       --  "mapM id" is "sequence")
[c|                 ,any((b==).abs)c]  -- keep c if it contains b or -b

Edit: @xnor pointed out that mapM id is sequence.