Hi indradeo,
In which format you want to change you can change in query accordingly to date format will change.
Refer below sample.
HTML
<asp:GridView runat="server" ID="gvDate" AutoGenerateColumns="false">
    <Columns>
        <asp:BoundField DataField="Date" HeaderText="Date" />
    </Columns>
</asp:GridView>
Namespaces
C#
using System.Data;
using System.Data.SqlClient;
using System.Configuration;
VB.Net
Imports System.Data.SqlClient
Imports System.Data
Code
C#
protected void Page_Load(object sender, EventArgs e)
{
    if (!this.IsPostBack)
    {
        string constr = ConfigurationManager.ConnectionStrings["constr"].ConnectionString;
        SqlConnection con = new SqlConnection(constr);
        SqlCommand cmd = new SqlCommand("SELECT CONVERT(VARCHAR,Date,103) FROM tblDateData", con);
        SqlDataAdapter da = new SqlDataAdapter(cmd);
        DataTable dt = new DataTable();
        da.Fill(dt);
        gvDate.DataSource = dt;
        gvDate.DataBind();
    }
}
VB.Net
Protected Sub Page_Load(ByVal sender As Object, ByVal e As EventArgs) Handles Me.Load
    If Not Me.IsPostBack Then
        Dim constr As String = ConfigurationManager.ConnectionStrings("constr").ConnectionString
        Dim con As SqlConnection = New SqlConnection(constr)
        Dim cmd As SqlCommand = New SqlCommand("SELECT CONVERT(VARCHAR,Date,103) FROM tblDateData", con)
        Dim da As SqlDataAdapter = New SqlDataAdapter(cmd)
        Dim dt As DataTable = New DataTable()
        da.Fill(dt)
        gvDate.DataSource = dt
        gvDate.DataBind()
    End If
End Sub