Lazarus works only with UTF-8 strings, so all components expect that.
I do not know about the SQLDB components coming with Lazarus, but if you use ZEOS instead, you can set the client code page to UTF-8 and see your DB data properly in Lazarus programs.
You can put a "codepage=UTF8" in the ZConnection.Properties to accomplish this.
I use the following for MySQL:
...
SQLConnection.Properties.Text :=
'character_set_client=utf8'#13#10+
'character_set_connection=utf8'#13#10+
'character_set_database=utf8'#13#10+
'character_set_results=utf8'#13#10+
'character_set_server=utf8'#13#10+
'character_set_system=utf8'#13#10+
'collation_connection=utf8_general_ci'#13#10+
'collation_database=utf8_general_ci'#13#10+
'collation_server=utf8_general_ci'#13#10+
'Codepage=utf8';
...
and both reading and writing are ok , even with non UTF-8 databases.
It can be different for your database though...