Both tasks can be done equally fast in either language. They can also both be done horribly wrong and horribly slowly in both languages, so there is that to consider.
From another one of your comments, you mention that you do the formatting on the SQL server side. These queries would potentially be a lot less expensive if you did that on the app side, and then moved this script to a faster machine so as to impact the db server the least.
I'd guess that harddrive speed is your biggest problem now. You should monitor the resources while running this script -- Is it maxing out your cpu? is it reading/writing a lot to memory?(it shouldnt). Is it just waiting on disk i/o most of the time? If it is, you should look into upgrading your storage to either faster disks, a raid, or an ssd depending on what makes the most sense for your situation.
Even just something like defragging the disk might help.
If you have good cpu/memory to spare but cant avoid the slow disk, you could even look into compressing all of the output in memory before writing it (again, assuming this is a good idea, it really depends on where these reports are going and what format is needed).