I can step into PHPUnit tests without a problem using XDebug. However, I did notice that it sometimes seems to skip certain statements (such as simple assignment to variables in a function without anything else), so spread some breakpoints around.
Make sure you've set up path mapping properly, with the correct version of the library mapped over.
If you're using XDebug from the command-line, you have to set certain environment variables - see here and here.
In my case, the following environment variables needed to be set in the remote box and run from the remote box. 10.0.2.2 works OK for Virtualbox VMs - basically you need to point to your local machine.
export XDEBUG_CONFIG="idekey=PHPSTORM remote_host=10.0.2.2 remote_port=9000"
export PHP_IDE_CONFIG="serverName=[yourservernamehere]"
