It's very frustrating having all of these tools only support Windows.
Despite all the wonderful work Microsoft has done with CoreCLR, the "IDE" debugger is still only available under a license that only permits use with Visual Studio and VSCode [1] and mdbg is still nowhere to be found for CoreCLR [2].
From what I've gathered, the best you have right now for doing command line debugging is the "SOS" plugin for lldb, which seems to require building the lldb plugin and sometimes even lldb (!!) yourself [3][4].
The “IDE” debugging library fuss was mistaken. CoreCLR supports the same COM ICorDebug API as mainstream .NET but Microsoft have their own private C# bindings library for using it with VS/VSCode. Anybody can generate their own C# bindings, JetBrains already did.
I say this as someone who was using ICorDebug 13 years ago.
I say this as someone who was using ICorDebug 13 years ago.