I've got tab completion working for tables and columns (--auto-rehash), is there any way to also have tab completion for SQL commands eg
SE (tab) --> SELECT SELECT * FR (tab) --> SELECT * FROM
You're probably talking about mysql command-line client.
For a single session, you can enable tab completion with command line switch --auto-rehash .
To set this behavior default, check your mysql configuration file my.cnf, find [mysql] region, and replace line