You can specify BorderBrush and BorderThickness for the DataGridColumnHeader. Example
<DataGrid.Resources>
<Style TargetType="{x:Type DataGridColumnHeader}">
<Setter Property="Background" Value="Blue"/>
<Setter Property="BorderBrush" Value="Red"/>
<Setter Property="BorderThickness" Value="1,1,1,1"/>
</Style>
</DataGrid.Resources>
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