Does EXCEPT execute faster than a JOIN when the table columns are the same

To find all the changes between two databases, I am left joining the tables on the pk and using a date_modified field to choose the latest record. Will using EXCEPT increase performance since the tables have the same schema. I would like to rewrite it with an EXCEPT, but I'm not sure if the implementation for EXCEPT would out perform a JOIN in every case. Hopefully someone has a more technical explanation for when to use EXCEPT.

There is no way anyone can tell you that EXCEPT will always or never out-perform an equivalent OUTER JOIN. The optimizer will choose an appropriate execution plan regardless of how you write your intent.

That said, here is my guideline:

Use EXCEPT when at least one of the following is true:

The query is more readable (this will almost always be true).
Performance is improved.

And BOTH of the following are true:

The query produces semantically identical results, and you can demonstrate this through sufficient regression testing, including all edge cases.
Performance is not degraded (again, in all edge cases, as well as environmental changes such as clearing buffer pool, updating statistics, clearing plan cache, and restarting the service).

It is important to note that it can be a challenge to write an equivalent EXCEPT query as the JOIN becomes more complex and/or you are relying on duplicates in part of the columns but not others. Writing a NOT EXISTS equivalent, while slightly less readable than EXCEPT should be far more trivial to accomplish - and will often lead to a better plan (but note that I would never say ALWAYS or NEVER, except in the way I just did).

In this blog post I demonstrate at least one case where EXCEPT is outperformed by both a properly constructed LEFT OUTER JOIN and of course by an equivalent NOT EXISTS variation.