Calculate and show DATETIME difference on PIVOTING query
Let me know if this produce the desired result.

First I've set up an example on dbfiddle that returns unpivot data similar to the result of your question.




CREATE TABLE foo
(
  applicationId int, 
  countryName varchar(20),
  name varchar(20), 
  nationality varchar(20), 
  agency varchar(10), 
  newStatus varchar(10), 
  dateChange datetime
);

INSERT INTO foo VALUES
(1001, 'Mexico', 'Juan', 'Mexico', 'CIA', 'OLA', '20170101'),
(1001, 'Mexico', 'Juan', 'Mexico', 'CIA', 'AWA', '20170110'),
(1001, 'Mexico', 'Juan', 'Mexico', 'CIA', 'TMB', '20170105'),
(1002, 'Germany', 'Michael', 'Germany', 'FBI', 'OLA', '20170203'),
(1002, 'Germany', 'Michael', 'Germany', 'FBI', 'AWA', '20170207'),
(1002, 'Germany', 'Michael', 'Germany', 'FBI', 'TMB', '20170212'),
(1002, 'Rusia', 'Boris', 'Rusia', 'SNA', 'OLA', '20170301'),
(1002, 'Rusia', 'Boris', 'Rusia', 'SNA', 'AWA', '20170311'),
(1002, 'Rusia', 'Boris', 'Rusia', 'SNA', 'TMB', '20170305');



Then I enclosed your pivot query inside a CTE function, and finally it calculates datediff using data returned by pivot query.


WITH p AS
(
    SELECT *
    FROM   (SELECT *
            FROM   foo) SRC
    PIVOT (MIN(dateChange) for newStatus IN ([OLA], [AWA], [TMB])) pvt
)
SELECT applicationId, 
       countryName, 
       name, 
       nationality, 
       agency, 
       OLA, 
       DATEDIFF(DAY, [OLA], [AWA]) X,
       AWA,
       DATEDIFF(DAY, [AWA], [TMB]) Y,
       TMB
FROM P
ORDER BY applicationId;
GO



This is the final result:



applicationId | countryName | name    | nationality | agency | OLA                 |  X | AWA                 |  Y | TMB                
------------: | :---------- | :------ | :---------- | :----- | :------------------ | -: | :------------------ | -: | :------------------
         1001 | Mexico      | Juan    | Mexico      | CIA    | 01/01/2017 00:00:00 |  9 | 10/01/2017 00:00:00 | -5 | 05/01/2017 00:00:00
         1002 | Germany     | Michael | Germany     | FBI    | 03/02/2017 00:00:00 |  4 | 07/02/2017 00:00:00 |  5 | 12/02/2017 00:00:00
         1002 | Rusia       | Boris   | Rusia       | SNA    | 01/03/2017 00:00:00 | 10 | 11/03/2017 00:00:00 | -6 | 05/03/2017 00:00:00



dbfiddle here