This comes up a lot. What is your original data source? Can you post a workbook? Is your date field showing up as a Date, or a String?
Some links that may help: Correcting Date Fields that Tableau Interprets as Strings | Tableau Software
Have you tried changing the format inside Tableau? See: http://mkt.tableausoftware.com/files/tip0811.pdf
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It looks like Tableau is picking up a date format setting somewhere on your computer that is set to something other than English US.
Do you have any non-US locale settings in your Region and Language settings under Control Panel?
Also, you could try changing the workbook locale to English US to see if the format changes back to nm/dd/yyyy
Thanks Dan you answered pointed me in the right direction.
My Datasource was a .txt file.
Loading data in from my computer was fine. A clients computer however loaded the data in with the incorrect month/day order.
Apparently Tableau uses your computers default date settings to determine which order your 'date' fields from .txt files 'should' be formatted in. To correct this issue you simply need to change your computers settings so that the default date is in the same order as the dates in your .txt file (I imagine this would be the same for .csv and some other file types as well.)
So go to control panel -> date and time -> change date and time -> change calendar setting - > under 'date format' enter the correct format then hit 'ok'.
You may need to restart Tableau.