I think this is the error. The last variable $msg
is incorrectly inserted. Here is the corrected code.
function mysite_woocommerce_order_status_processing( $order_id ) {
$mobile="123456";
$url="****/api.php?username=******&password=1234&source=UPDATE&dmobile=".$mobile."&message="".$msg.""";
$response = wp_remote_get( $url );
//print_r($response);
}
add_action( 'woocommerce_order_status_processing','mysite_woocommerce_order_status_processing' );