Only with SQL 2008 and SSMS 2008. Select from menu 'Debug\Start Debugging' or press Alt+F5 and will launch the step by step T-SQL debugger.

On 2005 the only way is to attach Profiler and monitor for the SP:StmtCompleted event, which is not exactly debugger step-by-step, but at least you'll see the execution flow. Not to be done on a production machine, obviously.

I have written a pretty detailed blog post about it here:

http://www.diaryofaninja.com/blog/2010/11/23/debugging-sql-queries-function-amp-stored-procedures-with-sql-management-studio

Basically the gist of it is that you enter your sql query to execute your stored procedure, and instead of pressing F5 or hitting the exclamation, you hit the play button and use F10 and F11 to step through and step into your stored procs.

This is very handy but no one seems to use it.

From SSMS 17 onwards version, You can not debug any SQL.

[Edit] Use Visual Studio with SSDT tool. You can allow to debug.

The ability to debug sprocs, which was in Query Analyzer in SQL Server 2000 was not put into SQL Server 2005. Microsoft realized this mistake and put the functionality back in in SQL Server 2008.

In SSMS 2008 you can start the debugger by either clicking the debug button on the toolbar or pressing ALT+F5.

Unfortunately, running SSMS 2008 against a 2005 database will not allow you to debug, so you'll have to stick with Visual Studio.

Watch out for debugging stored procedures using Visual Studio. The way that this is implemented is to use an incredible amount of locking so that you should never do this on a production system.

Yes, in SSMS 2008 you can definitely step into T-SQL code (code block, stored func, stored proc) and debug it.

See this excellent article Management Studio Improvements in SQL Server 2008 for details - it also deals with debugging (towards the end of the article).