I am pretty sure it finishes one event completely before it starts the next - unless you add "Wait x seconds" to intentionally delay actions.
I have heard some people say that triggers can happen out of sequence, but I don't know if that is true or not.
EDIT: from the manual:
However, triggers are an exception. See the green arrow to the left of Keyboard: On Space pressed from the previous example:
Note the trigger.
This indicates the event is triggered. Rather than running once per tick, this event simply runs (or "fires") upon something actually happening. In this case, the event runs when the user hits the Spacebar key on the keyboard. It is never checked any other time. Since triggers run upon an event happening, they aren't checked in top-to-bottom order like other events. This means the ordering of triggers relative to other events is not important (except relative to other triggers of the same type, since triggers still fire top-to-bottom).