Xdebug traffic wasn't finding it's way back to my host. When I entered the IP-address of my host machine in xdebug.remote_host, debugging worked but this was not ideal because my IP changes on every reboot. Luckily, Docker provides a way to obtain the host IP via a DNS-entry docker.for.win.localhost.

Edit:
Docker now has a platform-independent DNS-entry host.docker.internal.

I tried to use xdebug.remote_connect_back=1 which just responds to traffic from where it came but it wasn't working. Phpinfo() showed that REMOTE_ADDR was set to localhost. Localhost in this context points to the Docker PHP-container while it should point to our host IP. Important to know with this setting is that xdebug.remote_host in the .ini will be ignored.

From the Xdebug docs:

xdebug.remote_connect_back Type: boolean, Default value: 0, Introduced in Xdebug >= 2.1

If enabled, the xdebug.remote_host setting is ignored and Xdebug will try to connect to the client that made the HTTP request.

Here is the Dockerfile with the xdebug.ini configuration for the PHP Docker container that worked:

FROM php:7.1-fpm
ARG TIMEZONE

MAINTAINER Maxence POUTORD <[email protected]>

RUN apt-get update && apt-get install -y \
    openssl \
    git \
    unzip

# Install Composer
RUN curl -sS https://getcomposer.org/installer | php -- --install-dir=/usr/local/bin --filename=composer
RUN composer --version

# Set timezone
RUN ln -snf /usr/share/zoneinfo/${TIMEZONE} /etc/localtime && echo ${TIMEZONE} > /etc/timezone
RUN printf '[PHP]\ndate.timezone = "%s"\n', ${TIMEZONE} > /usr/local/etc/php/conf.d/tzone.ini
RUN "date"

# Type docker-php-ext-install to see available extensions
RUN docker-php-ext-install pdo pdo_mysql

# install xdebug
RUN pecl install xdebug
RUN docker-php-ext-enable xdebug
RUN echo "zend_extension=/usr/local/lib/php/extensions/no-debug-non-zts-20160303/xdebug.so" >> /usr/local/etc/php/conf.d/docker-php-ext-xdebug.ini
RUN echo "error_reporting = E_ALL" >> /usr/local/etc/php/conf.d/docker-php-ext-xdebug.ini
RUN echo "display_startup_errors = On" >> /usr/local/etc/php/conf.d/docker-php-ext-xdebug.ini
RUN echo "display_errors = On" >> /usr/local/etc/php/conf.d/docker-php-ext-xdebug.ini

# relevant to this answer
RUN echo "xdebug.idekey=\"PHPSTORM\"" >> /usr/local/etc/php/conf.d/docker-php-ext-xdebug.ini
RUN echo "xdebug.remote_port=9000" >> /usr/local/etc/php/conf.d/docker-php-ext-xdebug.ini
RUN echo "xdebug.remote_enable=1" >> /usr/local/etc/php/conf.d/docker-php-ext-xdebug.ini
RUN echo "xdebug.remote_autostart=1" >> /usr/local/etc/php/conf.d/docker-php-ext-xdebug.ini
RUN echo "xdebug.remote_host=docker.for.win.localhost" >> /usr/local/etc/php/conf.d/docker-php-ext-xdebug.ini

RUN echo 'alias sf="php app/console"' >> ~/.bashrc
RUN echo 'alias sf3="php bin/console"' >> ~/.bashrc

WORKDIR /var/www/free-energy/symfony

Edit:
I was messing around with XDebug quite a bit in this post.
Now I know your XDebug config doesn't have to be as big as I had back then.

xdebug.ini: (in your Docker PHP image).

zend_extension=xdebug.so

[Xdebug]
xdebug.remote_enable=true
xdebug.remote_port=9000
xdebug.remote_host=host.docker.internal

RUN apk add --no-cache $PHPIZE_DEPS \
    && pecl install xdebug-2.9.2 \
    && docker-php-ext-enable xdebug  \

But at Start listening for PHP Debug connection I get Port 9009 is busy

There is no need to expose Xdebug port in your Docker container, no need at all.

If you expose it .. Docker will be the one that listens on that port and forwards any connections into container. But it's IDE/VSCode/PhpStorm that must be listening it... because it's Xdebug that connects to IDE and NOT other way around.

Fix that first.

xdebug.remote_connect_back = 1

I recommend turning this off and specify actual host in xdebug.remote_host (docker.for.mac.localhost).

The IP detected by Xdebug with remote_connect_back option (depends on settings I guess, and the way how Docker works) very likely will not be the IP of the host machine. But that's what you need -- that's where your IDE (PhpStorm) / editor (VSCode) runs and Xdebug must be connecting to.

The following is sufficient for simply installing xdebug on that image:

FROM wordpress:php7.1-fpm-alpine

RUN apk add --no-cache $PHPIZE_DEPS \
    && pecl install xdebug-2.5.0 \
    && docker-php-ext-enable xdebug

Building that and then running from a shell inside the resulting image produces the following:

$ php -i | grep Xdebug
    with Xdebug v2.5.0, Copyright (c) 2002-2016, by Derick Rethans