Converting literal date values to Date Format

I have a new project that is pulling in data from a proprietary SQL database.  I am using a query to get the data and it comes through fine, however the date data is showing up as long integers like 1412956095860.  I tried to use the DATE() or DATEVALUE() to convert it to mm/dd/yyyy hh:ss, but it is not working.  When I save the results as a csv and then open in Excel, it seems to convert automatically.  What should I do to solve this?  Or should I just have a SQL script that produces a csv and then read the data from there into Power BI?

Thanks,

Brad