I know that if you do something like
myTextView.setText(\"This is on first line \\n This is on second line\");
Then it will display properl
As Falmarri said in his comment, your string is being escaped when it is put into the database. You could try and unescape the string by calling String s = unescape(stringFromDatabase) before you place it in your TextView.
As a side note, make sure you are using DatabaseUtils.sqlEscapeString() on any kind of data that is from the user or an unknown changeable source when inserting data into the database. This will protect you from errors and SQL Injection.