To get Conversation Entries for Messaging Session in Salesforce Messaging Channels(SMS, WhatsApp, Facebook, etc..), we can query the ConversationEntry object/entity using the Messaging Session Id as the ConversationId.

Sample SOQL:

SELECT Id, ActorId, ActorName, ActorType, EntryType, Message,
MessageSendTime, MessageReadTime, MessageStatus, MessageStatusCode,
CreatedDate, ClientDuration, ClientTimestamp, EntryTime
FROM ConversationEntry
WHERE ConversationId = '<MessagingSessionId>'