Hosted in the Mendix cloud, you can't do this.
If you are running on premises you can enable debugging and debug remotely.
Hi Savan,
For as far as I know this is not possible. I always download exactly the same database as on the server and then start to debug from my local machine
Edit:
Check out this forum post where it also says it's not possible:
https://forum.mendix.com/questions/11042/Debugging-session-on-mendixcloud-with-eclipse--exchange-connector-license