In addition to deleting the entire conversation, you can also delete a single SMS/message from the Xiaomi smartphone, simply by tapping and holding it, you can select and remove the desired message.

Note: The message will only be deleted on your own device; the message will remain on the recipient/sender's device.

Android 10 (MIUI 12.0)
Step 1:  Open the  Messaging app
Step 2:  Choose a  conversation
Step 3:  Tap and hold a  message
Step 4:  Tap on  Delete
Step 5:  Confirm with  Delete
  1. Open the Messaging app
  2. Choose a conversation
  3. Tap and hold a message
  4. Tap on Delete
  5. Confirm with Delete

Xiaomi Instructions