You could use the command STRCBLDBG (start cobol debug).
Try this site:
Hope this helps!
Assuming this question is related to ILE COBOL then when you run the CRTBNDCBL command specify an appropriate DBGVIEW vaue (I tend to use *SOURCE). Then you can just use STRDBG just as you would for an ILE RPG program created with DBGVIEW(*SOURCE) (or whatever). OPM support is along the same lines.