What format string do I use for milliseconds in date strings on iPhone?

It's SSS, per the Unicode Locale Data Markup Language spec.

"yyyy-MM-dd'T'HH:mm:ss.SSS"

More generally, use any number of upper-case S characters to get that many decimal places in the fractions-of-a-second component. (So ss.S will show the time to the nearest tenth of a second, for example.)

You need to pass same number of 'S' at the end for example My Date was '2015-11-17T03:36:45.041503Z' the i used 'yyyy-MM-dd'T'HH:mm:ss.SSSSSSz' formatter, I mean see the number of 'S' is 6 as 6 digit coming in date.

The Date Format Patterns guide suggests that "S" is the format specifier for fractions of seconds.