Yes, you can ;-)
Unfortunately, my crystal ball is currently being serviced and is therefore out of order.
For a qualified answer, it would be nice if you could also specify which Lazarus version, which FPC version you are using and which access path you have chosen (SQLDB, ZEOS, other) and perhaps also against which SQL database you are querying.
All this could have an influence on the answer.
Some SQL databases have a monitor option to see incoming and outgoing SQL statements.
For SQLDB, TSQLConnector.OnLog is your friend and for ZEOS, TZSQLMonitor might be helpful.
For other access paths ask the vendor ;-)