Multiple cores are hardware-wise not synchronized by default after reset.
1. Enable the option Synchronize selected cores (stop/run) when possible in Hardware | CPU Options | Debugging.
2. Enable synchronization in Hardware | CPU Options | Cores | <core> | Synchronize this core for each core you want to synchronize.
All options mentioned above are enabled by default.
If synchronization of cores is either not needed or unwanted, you can disable it by unchecking the checkbox Synchronize selected cores (stop/run) when possible in Hardware | CPU Options | Debugging.
It is possible to exclude individual cores from synchronization by selecting the No option in Hardware | CPU Options | Cores | <core> | Synchronize this core.