For anyone having this issue with a DLL which has been built with Common Language Runtime Support (/clr), you'll need to change your debugger settings to Mixed Mode.

See following link:

https://learn.microsoft.com/en-us/answers/questions/1664758/visual-studio-debugger-will-not-step-into-code-of

If your DLL is .Net Framework, change Configuration Properties->Debugging->[Debugger Type] to Mixed (.NET Framework).

And for .Net or .Net Core DLL's change the setting to Mixed (.NET Core).