Seguramente no estás usando el protocolo adecuado:
Código Delphi
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FDConnection1.Params.Add('Server=myServerAddress');
FDConnection1.Params.Add('Port=3306');
FDConnection1.Params.Add('Database=myDataBase');
FDConnection1.Params.Add('User_Name=myUsername');
FDConnection1.Params.Add('Password=myPassword');
FDConnection1.Params.Add('Protocol=mysqld');