I ordered the Xbox Series X from Saturn yesterday morning, unfortunately canceled it yesterday evening, but decided to keep it today?

In the cancellation it was stated that the goods are already on their way, and I should refuse to accept the goods if I accept them, does the sales contract still exist or can the cancellation not be reversed?

Call Mediamarkt.

No, the contract is still running normally. Since the goods are already on their way, you can no longer cancel them online. Therefore, you should not accept the goods, this is more or less a declared cancellation. If you accept the package, you have to pay and everything is as usual.