TSomeForm = class(TForm)
...
  procedure My_OnMouseDown_Proc(Sender: TObject; Button: TMouseButton; Shift: TShiftState; X, Y: Integer);
...
end;

procedure TSomeForm.My_OnMouseDown_Proc(Sender: TObject; Button: TMouseButton; Shift: TShiftState; X, Y: Integer);
begin
  // здесь нужный функционал
end;

procedure TSomeForm.EnumAllComponents;
var
  i: Integer;
begin
  for i := 0 to ComponentCount-1 do
  begin
    if (Components[i] is TWinControl) then
      try TWinControl(Components[i]).OnMouseDown := My_OnMouseDown_Proc; except end;
  end;
end;

Cannot access protected symbol TControl.OnMouseDown

procedure TSomeForm.EnumAllComponents;
var
  i: Integer;
  PropInfo: PPropInfo;
  MyMethod: TMethod;
begin
  for i := 0 to ComponentCount-1 do
  begin
    PropInfo := GetPropInfo(Components[i].ClassInfo, 'OnMouseDown');
    if (Components[i] is TWinControl) then
    begin
      MyMethod.Data := Components[i];
      MyMethod.Code := MethodAddress('My_OnMouseDown_Proc');
      SetMethodProp(Components[i], PropInfo, MyMethod);
      end;
    end;
  end;
end;