For recent versions (SQLAlchemy ~0.7) the SQLAlchemy homepage says:
PoolListener is deprecated. Please refer to PoolEvents.
Then the example by CarlS becomes:
engine = create_engine(database_url)
def _fk_pragma_on_connect(dbapi_con, con_record):
dbapi_con.execute('pragma foreign_keys=ON')
from sqlalchemy import event
event.listen(engine, 'connect', _fk_pragma_on_connect)