As you may know, in the editor, inside a script you can click on the little hyphen next to the line number, and that will set a breakpoint.
If there is an anonymous function definition on that line of the script, you will be asked if you want the breakpoint at the beginning of that line of code, or at the anonymous function (i.e. whenever that function is called from elsewhere in the code).
EDIT in response to comment:
You can do this programmatically as follows:
>> dbstop in filename at 3@
will put a breakpoint at the anonymous function on line 3 of the file filename.m.
This is described in the section on "location" in
>> doc dbstop
