I have always run with a Smith & Wesson "active" holster, but recently switched to this:
Made in America and I can carry both of my weapons as well as my iPhone. I will typically wear outside of my running shorts for full visibility, but it can be worn under shorts if you hold a CCW permit.
I wanted to bring attention to other women who might feel more comfortable running with their weapon. I am in no way affiliated with the creator and distributor of this holster (other than that I purchased one).
Be safe out there and protect yourself.