[Acanol]

Mediaplayer.mode te indica en que estado se encuentra el mediaplayer:
Not ready, Stopped, Playing, Recording, Seeking, Paused, Open.

//Antes de hacer funcionar el ejemplo, inicializa la propidedad notify del TMediaPlayer1 a true

Código Delphi [-]
//Ejemplo ayuda delphi... 
const
  ModeStr: array[TMPModes] of string = ('Not ready', 'Stopped', 'Playing', 'Recording', 'Seeking', 'Paused', 'Open');
 
procedure TForm1.MediaPlayer1Notify(Sender: TObject);
begin
  with Sender as TMediaPlayer do
  begin
    Form1.Caption := ModeStr[Mode];
    { Note we must reset the Notify property to True }
    { so that we are notified the next time the }
    { mode changes }
    Notify := True;
  end;
end;