Actually, Microsoft has now made the Debugging Tools downloadable separately from the SDK. Look for the section "Standalone Debugging Tools for Windows (WinDbg)" about mid-page:
If you're on Windows 7 x64, the solution provided by Sukesh doesn't work.
I managed to install the debugging tools by downloading the Windows SDK installer for Windows 8 (here), and then choosing "Debugging Tools for Windows" in the installer:
This Microsoft link allows you to select the SDK. When you run the install and only select Windows debugging tools it will only download 288mb and install the tool as stand alone.
WinDbg is now available separately via MS Store. It's called "Preview" but I tested it to analyse some memory dumps and it works fine.
If you're on Windows 10 - launch MS Store, type "WinDbg" in the search box and voi-la - you have it. The download is approx. 100mb. It will downlaod required symbols automatically.
I was looking for the same thing for a quick operation and found this question. I needed both 32-bit and 64-bit versions.
This is an older version but the links are from the Microsoft servers, it should be safe. The link for 32-bit version is also in a previous answer but the version number i get on the install is different, maybe the same link is updated with a newer version since 2013.
Cheksums are generated both locally and on VirusTotal, they match.
I tested the 64 bit debugger with a 64 bit program that was compiled some years ago (~2012) and it works. Test is done on Windows 10 Pro 64 bit (v2004 Build 19041.207).