I went back to Delphine to get my gear and to talk to her about the information I found from the Thalmors. But she didn't give me the new quest which is called 'A Cornered Rat' where you aparently go find Esbern in Riften. Ive been to Riften can't do anything. I don't have the quest so I can't continue. Is it because I have joined the theives guild but not completed their quests? Please help, I can't do the main quest now.

Talk to her again.

I have, I can't talk about anything with her apart from things like what it means to be dragonborn and who are the thalmor. I think i'll try finish the thieves guild quests and then see if it works

I have the exact same problem. I have completed a lot of things (am now currently level 30); finished the war, am now #1 leader of three groups (spoilers)... but Delphone did NOT give me "A cornered rat" upon completion of Diplomatic immunity.

We seem to not be alone with this problem according to the internet...

if you are playing on pc you can always jump that stage in the MQ with the console commands svcks if you are on a console

What are we supposed to do now then? Do you think this will be fixed for us or what? Its really bummed me out and kind of lessened my interest.

The jump MQ stage in console does not work with this bug, any more ideas???

Um, did you actually read the book that you're supposed to steal from the embassy?

"Sometimes this quest will fail to start at all and never even show up in your quest log after completing Diplomatic Immunity, in which case you will have to skip ahead to the next quest, Alduin's Wall. In the dev console, type setstage mq203 5."

just to give an update, this actually worked for me, it skipped 1 or 2 quests. I'm suddenly at alduins wall with esbern and deph..whatever her name and could continue the main story for now. Didn't have much interaction with esbern after this tho so i dunno if there are any consequences down the road.