The full form of the first one is: The game has just begun. This means that the game is currently going and just started a moment ago. You might phrase it this way if, say, a friend just showed up to watch the game with you and you want to reassure them they didn't miss too much.
The second one CAN have the same meaning as the first. However, it can also have the meaning that, since the game has already begun, you are too late to join it.
If I showed up to a Scrabble party, for example, and my friends had already started playing, and they said to me, "The game has just begun," I would assume (likely correctly) that I could still pull up a chair and join in. If they said, "The game just began," I would still ask them (or need to tell from their tone of voice) if I could join, or if I was too late.
The second one can also mean that the event happened spontaneously, with little or no preparation. For example, if you are standing around with a bunch of guys and someone starts kicking a soccer ball around, and then you all start playing soccer, you might have a conversation like this:
Someone else: I didn't know you guys were going to play soccer.
You: We didn't either. The game just began!
The implication being the game started itself, so to speak - it wasn't planned.
They are pretty similar phrases, but the second one has more meanings depending on context and tone.