In order to enable compilation of kdb, you must first enable kgdb.
The kgdb test compile options are described in the kgdb test suite chapter.
To enable CONFIG_KGDB you should look under "Kernel hacking" / "Kernel debugging" and select "KGDB: kernel debugger".
While it is not a hard requirement that you have symbols in your vmlinux file, gdb tends not to be very useful without the symbolic data, so you will want to turn on CONFIG_DEBUG_INFO which is called "Compile the kernel with debug info" in the config menu.
It is advised, but not required, that you turn on the CONFIG_FRAME_POINTER kernel option which is called "Compile the kernel with frame pointers" in the config menu. This option inserts code to into the compiled executable which saves the frame information in registers or on the stack at different points which allows a debugger such as gdb to more accurately construct stack back traces while debugging the kernel.
If the architecture that you are using supports the kernel option CONFIG_DEBUG_RODATA, you should consider turning it off. This option will prevent the use of software breakpoints because it marks certain regions of the kernel's memory space as read-only. If kgdb supports it for the architecture you are using, you can use hardware breakpoints if you desire to run with the CONFIG_DEBUG_RODATA option turned on, else you need to turn off this option.
Next you should choose one of more I/O drivers to interconnect debugging host and debugged target. Early boot debugging requires a KGDB I/O driver that supports early debugging and the driver must be built into the kernel directly. Kgdb I/O driver configuration takes place via kernel or module parameters which you can learn more about in the in the section that describes the parameter "kgdboc".
Here is an example set of .config symbols to enable or disable for kgdb:
# CONFIG_DEBUG_RODATA is not set