'Hyderabad,Delhi,Kolkata,Mumbai,Chennai'(split one by one)
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DECLARE @Splitted_strings NVARCHAR(4000)
DECLARE @Pos INT
DECLARE @NextPos INT
DECLARE @Str NVARCHAR(4000)
DECLARE @Delimiter NVARCHAR(1)

SET @Str ='Hyderabad,Delhi,Kolkata,Mumbai,Chennai'
SET @Delimiter = ','
SET @Str = @Str + @Delimiter
SET @Pos = charindex(@Delimiter,@Str)
WHILE (@pos <> 0)
BEGIN
SET @Splitted_strings = substring(@Str,1,@Pos - 1)
SELECT @Splitted_strings
SET @Str = substring(@Str,@pos+1,len(@Str))
SET @pos = charindex(@Delimiter,@Str)
print @Splitted_strings
END

Output:
Hyderabad
Delhi
Kolkata
Mumbai
Chennai