Google I/O 2015 promised debugging native code in Android Studio. To do this, you need to install ndk-bundle through SDK manager and update Android Studio to the latest version (Canary branch). And what to do next? How setup? Here is a link to the source. Source
Actually, the advertised NDK support isn't available yet, even if you download the ndk-bundle and update Android Studio to the latest version in the canary channel (1.3-preview3 as of now).
The SDK tools team said that the NDK support wasn't part of the first previews of Android Studio 1.3. However it should be out soon - they recently mentioned mid-June as a target.
update: the debugging support is out now. It wasn't the case at the time of the initial question - thanks for all the downvotes since then :) please look at donturner's answer below.
Update June 2016: In Android Studio 2.1 the default run configuration supports native debugging so there should be no need to do the below unless you're using an older version.
For older versions: Here's how to debug native code in Android Studio:
The app should be deployed and the
lldb debugger will attach after ~10s.
Note: When creating the debug configuration under the 'Native Debugger' section you can choose
gdb, however this is less well supported than
lldb and known to be buggy. Use at your own risk.