To enable CONFIG_KGDB, look under the "Kernel debugging" and then select "KGDB: kernel debugging with remote gdb".
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, see following chapter.
The kgdb test compile options are described in the kgdb test suite chapter.