I am using Windows 7 symbolic links to add my TYPO3 source folders and the index.php file to my document root.
PHPed shows the index.php with a link symbol in the workspace pane and opens it without problems. But the debugger won't stop on breakpoints set in this file or in any of the files in the linked directories.
On the other hand it is possible to step into these linked directories and debug files in there if the debugging starts in a normal file in the document root.
Is this a known limitation and is there some way to overcome it?

if you're running Apache, it's an expected behaviour because before running your script, Apache resolves the links and php does not know the original file name (symlink name). Hence debugger won't know the name either. Try echo __FILE__ and you'll see name of the file that both php and php debugger work with.
Just don't use symlinks or open original file in phped and set breakpoint in it, not in the symlink.