In brief: in general, none.
There might be operators $O$ for which $\langle\phi|O|\psi\rangle$ has some physical meaning. These are generally unitary operators (which preserve the normalization of $|\psi\rangle$, so that $O|\psi\rangle$ is still a physical, normalized state if $|\psi\rangle$ is). For instance, if $O=U(t)$, where $U$ is the time evolution operator, then $\langle\phi|U(t)|\psi\rangle$ is the amplitude for the process $\psi\to \phi$ to happen after a time interval $t$. If $O=T_{a}$, where $T$ is the spatial translation operator, then $\langle\phi|T_{a}|\psi\rangle$ is the overlap between the state $|\psi\rangle$ translated of an amount $\Delta x=a$ and the state $|\phi\rangle$. For rotations it works similarly, etc.
Moreover, $\langle\phi|O|\psi\rangle$ might have a direct (albeit approximate) interpretation in contexts such as the time-dependent perturbation theory, where in the case of a time-independent perturbation, $H=H_{0}+O$, $\langle\phi|O|\psi\rangle$ is proportional to the amplitude for going from state $\psi$ to state $\phi$ in the presence of the perturbation (and to first order in the perturbative series).
As for your example, $\langle S_{z};+|S_{x}|S_{z};+\rangle$ is just the mean value of $S_{x}$ in the up state of $S_{z}$, meaning that if you measured $S_{x}$ in the state $|S_{z};+\rangle$ in an infinite amount of different experiments and then averaged the outcomes you would get $\langle S_{z};+|S_{x}|S_{z};+\rangle$. This is because, for any hermitian operator $Q$,
$$
\langle\psi|Q|\psi\rangle=\sum_{q}\ q\ |\langle q|\psi\rangle|^{2}
$$
where $|q\rangle$ is the eigenstate of $Q$ with eigenvalue $q$ (notice that in the above $\phi=\psi$), and $|\langle q|\psi\rangle|^{2}$ does have a physical interpretation: it is the probability of finding $\psi$ in the state $|q\rangle$, hence the probability for the outcome of the measurement to be $q$.
Note: of course, not having a direct physical meaning does not mean that those matrix elements do not impact the physics of the system. Their impact, however, depends on how they enter into the equations.