Debugging libretro cores is kind of a nightmare since a lot of times your game will crash inside the cores code and if you don't have symbols good luck figuring that out. Luckily this tutorial mostly explains how to get symbolized debugging working. Note: You absolutely must use the MinGW64 terminal not the MSYS2 terminal when building Libretro cores for Windows. Also don't forget to enable the debug flags they mention when building with make.
The one thing that isn't mentioned is that once you successfully build the DLL you have to use cv2pdb to make a Windows debug symbol database file (pdb).
You produce the pdb by running something like this in MinGW64
cv2pdb.exe {core_name}.exe
The pdb is produced in the same directory as the DLL. Copy both of them over to MyCores. Once that's done Visual Studio should automagically load the pdb and will ask you to point to the source files. And now you might get more insight into whats going wrong... hopefully.
Q: Visual Studio loads the source files for the wrong core when debugging
A: Remove other pdbs AND source files and clean the build and rerun