How to trace a MySQL session like in Oracle
MySQL has "General Query Log". This logs everything that is going on MySQL server: users connecting, disconnecting, queries etc.

This query log is a file on your filesystem or (from 5.1.6 versions) table

Control the general query log at server startup as follows:


Before 5.1.6, the general query log destination is always a file. To enable the log, start mysqld with the --log[=file_name] or -l [file_name] option.
As of MySQL 5.1.6, the destination can be a file or a table, or both. Start mysqld with the --log[=file_name] or -l [file_name] option to enable the general query log, and optionally use --log-output to specify the log destination
As of MySQL 5.1.12, as an alternative to --log or -l, use --general_log[={0|1}] to specify the initial general query log state. In this case, the default general query log file name is used. With no argument or an argument of 1, --general_log enables the log. With an argument of 0, this option disables the log.
As of MySQL 5.1.29, use --general_log[={0|1}] to enable or disable the general query log, and optionally --general_log_file=file_name to specify a log file name. The --log and -l options are deprecated.


After starting query log, investigate the file (or table) for further information.

MySQL Query Log Documentation: http://dev.mysql.com/doc/refman/5.1/en/query-log.html