It is answered in thread FX3 JTAG SEGGER
Please set the following breakpoints in the firmware and do stepover at KernelEntry
By default the debugger stops at Main.
1. Put a break point at application define function (CyFxApplicationDefine)
2. Otherone at Thread_Entry function (for example - UVCAppThread_Entry in UVC An75779 firmware )
After this, if you do stepover at kernelentry, it will take you to Application Define. Then it will take you to Thread_Entry.
Hope this solves your problem.
I have tested at my end. It is working fine.