I have a board with an esp32 on it. It only has the six-pin PROG interface on it and I can program it using an esp-prog board and the PROG interface. But because it does not have a JTAG interface, what is the best way to debug a program on this board. Is it possible to set breakpoints and step through the code using the PROG interface?
No. This is just a glorified UART for talking to the bootloader. You need JTAG for debugging.