Visual Studio Code - Python debugging - Step into the code of external functions when executing
In order to improve the accepted answer by John Smith, it is worth mentioning that now the option has been renamed again. The new option is
"justMyCode": false
and as per the documentation
When omitted or set to True (the default), restricts debugging to user-written code only. Set to False to also enable debugging of standard library functions.
A debugger configuration with
"debugOptions": ["DebugStdLib"]
added in launch.json in fact will step into user-defined and pip-installed modules, contrary to what's written in the main question.