Code to use an Arduino Mega 2560 to transfer UART  USB to debug an other Microcontroller
A very simple sketch to pass serial through looks like this:

void setup(){
  Serial1.begin(/*BAUD*/);
  Serial2.begin(/*BAUD*/);
}

void loop(){
  if(Serial1.available()){
    Serial2.print((char)Serial1.read());
  }
  if(Serial2.available()){
    Serial1.print((char)Serial2.read());
  }
}


I would advise both run at the same baud rate, otherwise you may need to do some extra buffering yourself if the arduino starts running out of buffer space. If you want to use the mega's USB connection instead of "Serial1" like your schematic, just switch "Serial1" to "Serial"