Configuring OpenWrt struggled with this issue for some time until I have found this post. It turned out that once the kernel is built one should go to its root directory (where vmlinux file and gdb/scripts directory are located) and execute an additional make command (make scripts_gdb) to build the gdb modules. It will build the modules and create a symlink to gdb/scripts/vmlinux-gdb.py. Note that I have also built the kernel with CONFIG_GDB_SCRIPTS, which is probably required as well.