Show datediff as seconds, milliseconds

SELECT 
  DATEDIFF(MILLISECOND, begin, end) / 1000, 
  DATEDIFF(MILLISECOND, begin, end) % 1000
FROM ...;

If you absolutely must form it as a string in your SQL query (can't your presentation tier do that?), then:

SELECT 
  CONVERT(VARCHAR(12),  DATEDIFF(MILLISECOND, begin, end) / 1000)
  + ',' 
  + RIGHT('000' + CONVERT(VARCHAR(4), DATEDIFF(MILLISECOND, begin, end) % 1000), 3)
FROM ...;

Also I really hope you have better column names than begin and end.

Actually, the marked answer originally produced wrong results for milliseconds 1 - 99:

Example 1 second, 27 milliseconds:

1. DATEDIFF % 1000 will return 27
2. CONVERT will convert to '27'
3. String concatenation will build '1' + ',' + '27'
4. Result: '1.27' which means 270ms rather than 27ms

Don't forget to pad the milliseconds to three zeros:

DECLARE @start datetime2(7) = '2015-07-03 09:24:33.000'
DECLARE @end datetime2(7) = '2015-07-03 09:24:34.027'

SELECT 
    CAST (DATEDIFF(SECOND, @start, @end) AS nvarchar(3)) + N'.' +
    RIGHT('000' + CAST((DATEDIFF(MILLISECOND, @start, @end) % 1000) AS nvarchar(3)), 3)