[*Caro*]

Hola Cartel, puedes utilizar el evento OnChange de tu combobox:

Código Delphi [-]
 procedure TForm1.ComboBox1Change(Sender: TObject);
 var
   Indice : Integer;
 begin
  Indice := ComboBox1.ItemIndex;
  Case Indice Of
    0 : Image1.Picture.LoadFromFile('C:\Path\azul.jpg');
    1 : Image1.Picture.LoadFromFile('C:\Path\verde.jpg');
    2 : Image1.Picture.LoadFromFile('C:\Path\rojo.jpg');
  end;
 end;

Saluditos