CONFIG_ETRAX_KGDB is not available for thedefaultarchitecture x86.
Result is shown for architecture cris
default or selected kernelversion does not have config value CONFIG_ETRAX_KGDB.
Result is shown for kernelversion 6.7-rc3

Use kernel GDB debugger

modulename: kgdb.ko

configname: CONFIG_ETRAX_KGDB

Linux Kernel Configuration
└─>Kernel hacking
└─>Use kernel GDB debugger
In linux kernel since version 2.6.12  
The CRIS version of gdb can be used to remotely debug a running
Linux kernel via the serial debug port. Provided you have gdb-cris
installed, run gdb-cris vmlinux, then type

(gdb) set remotebaud 115200 <- kgdb uses 115200 as default
(gdb) target remote /dev/ttyS0 <- maybe you use another port

This should connect you to your booted kernel (or boot it now if you
didn't before). The kernel halts when it boots, waiting for gdb if
this option is turned on!

source code: