Several people have responded that private methods shouldn't be tested directly, or they should be moved to another class. While I think this is good, sometimes its just not worth it. While I agree with this in principle, I've found that this is one of those rules that cna be broken to save time without negative repercussions. If the function is small/simple the overhead of creating another class and test class is overkill. I will make these private methods public, but then not add them to the interface. This way consumers of the class (who should be getting the interface only through my IoC library) won't accidentally use them, but they're available for testing.
Now in the case of callbacks, this is a great example where making a private property public can make tests a lot easier to write and maintain. For instance, if class A passes a callback to class B, I'll make that callback a public property of class A. One test for class A use a stub implementation for B that records the callback passed in. The test then verify the the callback is passed in to B under appropriate conditions. A separate test for class A can then call the callback directly, verifying it has the appropriate side effects.
I think this approach works great for verifying async behaviors, I've been doing it in some javascript tests and some lua tests. The benefit is I have two small simple tests (one that verifies the callback is setup, one that verifies it behaves as expected). If you try to keep the callback private then the test verifying the callback behavior has a lot more setup to do, and that setup will overlap with behavior that should be in other tests. Bad coupling.
I know, its not pretty, but I think it works well.