https://bugs.winehq.org/show_bug.cgi?id=50973
--- Comment #3 from Bernhard Übelacker bernhardu@mailbox.org --- After a little more digging it showed me that with commit 28fe84da4 winedbg.exe is not started itself any longer, instead a start.exe is started which creates the winedbg process.
So basically it behaves like this: wine start.exe winedbg --gdb notepad
And another workaround would be to start winedbg with full path: wine c:\windows\system32\winedbg.exe --gdb notepad