I heard that the reason children cry as they are born is because the devil has entered them. If that is true please give information to show that it is true from Islamic and reliable books.

All perfect praise be to Allah, The Lord of the Worlds. I testify that there is none worthy of worship except Allah, and that Muhammad is His slave and Messenger.

Abu Hurayrah, may Allah be pleased with him, narrated that the Prophet said: “There is none born among the off-spring of Adam, but Satan touches it. A child, therefore, cries loudly at the time of birth because of the touch of Satan, except Mary and her child. Then, Abu Hurayrah recited {وَإِنِّي أُعِيذُهَا بِكَ وَذُرِّيَّتَهَا مِنَ الشَّيْطَانِ الرَّجِيم} ِ" {and I seek refuge for her in You and [for] her descendants from Satan, the expelled [from the mercy of Allah]}." [Al-Bukhari and Muslim]

Abu Hurayrah also narrated that the Prophet said: “When any human being is born, Satan touches him at both sides of the body with his two fingers, except Jesus, the son of Mary , whom Satan tried to touch but failed; he touched the placenta cover instead.” [Al-Bukhari]

Allah knows best.