Edebug works by instrumenting the definition of a function at the Lisp level: it cannot work on a built-in function like apply because there is no Lisp definition that it can get its hands on to instrument.
If you are trying to debug apply, you have to do it by running Emacs under a debugger like GDB and putting a breakpoint on the C function that is called apply at the Lisp level. Do C-h f apply, follow the link and you'll see that the C function is called Fapply. So, start Emacs under GDB, put a breakpoint on Fapply, start the program (i.e. Emacs) from the debugger and call apply from Lisp: it will stop at the first statement of Fapply and you can single step (in the C code) from there.
See the GDB manual for details. The point is that GNU Emacs is a C program, not a Lisp program, despite the fact that most of its functionality is implemented in Lisp: the core of it is written in C.