Trying to step through BackgroundWorker code in debug but program ends unexpectedly

Trying to step through BackgroundWorker code in debug but program ends
unexpectedly

Here is the code I am working with:
try
{
mainWorker = new BackgroundWorker();
mainWorker.DoWork += (sender, e) =>
{
try
{
//stuff I want to have happen in the background
//I want to step through the lines in this try block
}
catch
{
//exception not being caught
}
};
mainWorker.RunWorkerCompleted += (sender, e) =>
{
//code to let user know that the background work is done
};
mainWorker.RunWorkerAsync();
mainWorker.Dispose();
}
catch
{
//exception not being caught
}
I do not see any exceptions being thrown. I have a breakpoint set inside
the try block in DoWork. Sometimes it hits the breakpoint, but after
stepping through a certain number of lines the program ends. It doesn't
always end on the same line of code. Sometimes it doesn't hit the
breakpoint at all.
The code steps through normally if I eliminate the background worker.
I haven't implemented background workers before and I'm trying to figure
out what I'm missing that's preventing me from stepping through my code.