What is the current "output" that controls the light?
If it is on/off, that's easy. You need a SPDT (single pole, double throw) relay.
The on/off control will control the relay coil. Wire constant power to the switching common contact. Wire the (-) lead for each light to the ground for that same power source.
Wire the (+) side of one light to the NO (normally open) relay contact. Wire the (+) for the 2nd light to the NC (normally closed) relay contact. With no power applied to the relay, the light connected to the NC contact will be lit. When the relay is energized, the light attached to the NO contact will be lit.
Here's a crude drawing, the LED's are plain white LED, the resistors are 1/4W 470 ohm resistors. All we're doing is using the voltage across the armature to light the LED's, when you change direction, the LED that is lit will change. When you're stopped, no LED will be lit.