Unfortunately, there is no way to get Java events in delphi unless embarcadero encoded these events.
You can call almost any function or method in any class using various means, but not events. Therefore, you cannot receive the onReceive event of the broadcast receiver. The java class cannot be inherited, so you cannot override the event.
The best other option available is polling to check messages, but Android apps for Delphi XE5 cannot yet be added to services.
If the survey works for your needs, you can follow this link: Read text from SMS and display it as a text view
The Delphic equivalent of some of these calls:
cursor: JCursor;
uri: Jnet_Uri;
cursor: = SharedActivity.getContentResolver.query (ENTER URL HERE, nil, nil, nil, nil);
while (cursor.moveToNext) do
//treatment
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