Which kind of action? Leaving after editing? For this we have the OnEditingDone event; if fires when a cell is edited and another cell is selected or when the ENTER key is pressed.
Other than that, there are OnBeforeSelection and OnAfterSelection events, inherited from TCustomGrid, but kept protected in TDBGrid. You can access them by subclassing. OnBeforeSelection gets the col/row indices of the new cell, OnAfterSelection those of the left cell as parameters. But note that selection is a two-step process in TDBGrid which make book-keeping a bit complicated when the original source and destination cells are needed.
See also the attached simple project.