Hi Jason Lee,
Please check my test result with the MIMXRT1060-EVK on board CMSIS DAP debugger and the external JLINK debugger.
I am using the NXP official SDK test it.
1. On board CMSIS DAP debugger:

2. External JLINK debugger
Remove J47,J48,J49,J50, connect the Jlink to j21.

You can find it works OK and the breakpoint also works.
Please note, you need to select the sdram_debug under workspace, JLINK interface is SWD, not JTAG.

You can find evkmimxrt1060_sdram_init.mac under:
SDK_2.6.2_EVK-MIMXRT1060\boards\evkmimxrt1060\demo_apps\led_blinky\iar
Other project is the same.
Please try it again, with the newest SDK project.
I can confirm it works.
Wish it helps you!
Any updated information, please kindly let me know.
Have a great day,
Kerry
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