Windows has PIX for Windows, PIX is the name of the GPU debugging since Xbox 360. The Windows version is similar but it relies on debug layers that need to be GPU specific which is usually handled automatically. Although because of that it’s not as deep as the console version but it lets you get by. Most people use RenderDoc on supported platforms though (Linux and Windows). It supports most APIs you can find on these platforms.

Pix predates the XBox.