Video Player That Shows Milliseconds

SMPlayer.

In status bar:

Options -> Statusbar

• Show the current time with milliseconds

OSD (on screen display):

View -> OSD

• Show times with milliseconds
• Volume + Seek + Timer

For OSD it can need to install mpv. Activate mpv in SMPlayer here:
Options - Preferences - General - Multimedia engine - mpv

mplayer should be able to do that:

mplayer -osdlevel 3 -osd-fractions 1 filename

see manual for details on the parameters:

-osd-fractions <0-2>
       Set how fractions of seconds of the current timestamp are printed on the OSD:
          0    Do not display fractions (default).
          1    Show the first two decimals.
          2    Show  approximated  frame count within current second.  This frame count is
               not accurate but only an approximation.  For variable fps,  the  approxima‐
               tion is known to be far off the correct frame count.

tested with mplayer 1.3.0.