Yes, you can.
Run your application in the debugger. Once it's running, open the Debugging Sources view via Window | Debugging | Sources (Alt-Shift-8). You should see a list of source roots with check boxes. Find the item corresponding to the JDK sources. The respective check box is off by default. To enable debugging of the JDK sources, turn it on. Next time you invoke Step Into (F7) on a line with a JDK API call, the debugger will step into the JDK source.
Source: NetBeans User FAQ