I am pretty much sure it is the main thread problem to begin with, as UDP server is most likely a dropped component on a form or module, this one is creating the socket and listening to the traffic then later another TIdUDPClient form different thread is creating socket and trying to perform recv from the same address, leaving them both competing on shared resource.

The question AJ_Oldendorf did not answer, are there any sort of Synchronize or Thread control functions/method from "TThread." being used ?
is there from TThread beyond Create and Execute being used ? like WaitFor ...