The script that Ross cites is cool. But it's also easy enough to run something like this:
gam all users print delegates > OUTPUT_FILE.csv (this is also one of the first commands in that script)
...and then use a text editor to search for the account you're looking for. If you want to get fancy you can grep the output file and even direct the output into another file.
I recently had to do this for an employee who changed departments in our organization.
Unfortunately there isn't an easy way to show who has delegated access to what. Instead you need to list who has access to individual accounts and examine the output.