Writing a hiveserver2 query result to CSV with Python using pyhs2
Speed improvements

Using a for loop to build a list is quite slow, when Python has 'list comprehensions'. They're for loop like expressions that build lists. So your col could be changed from this:

for key in cur.getSchema():
    col.append(key['columnName'])


to this:

col = [key['columnName'] for key in cur.getSchema()]


As far as I can tell, your header is actually pointless. You're making it just a single item list that then gets iterated over to write to your file. This seems to be the same as just mywriter.writerows(col).

Your use of zip is confusing. zip is used to join two or more lists when iterating. It's not normally used for a single list like you have, and doesn't really do much for you unless I'm missing something. It's a redundant drain on your time.

Other notes

You use context managers (with x as y) for the connection which is great, but you should do the same for your csv_out.

with open('data.csv', 'wb') as csv_out:


It's extra safety for your file the same way you have with the connections.

I'd also recommending refactoring your code into discrete functions rather than just one long script. It's better for readability and debugging purposes. Plus it makes it easier to change or reuse this code later.