CONFIG_SH_KGDB is not available for thedefaultarchitecture x86.
Result is shown for architecture sh

Include KGDB kernel debugger

modulename: kgdb_stub.ko

configname: CONFIG_SH_KGDB

Linux Kernel Configuration
└─>Kernel hacking
└─>Include KGDB kernel debugger
In linux kernel since version 2.6.22 (release Date: 2007-07-08)  
Include in-kernel hooks for kgdb, the Linux kernel source level
debugger. See <http://kgdb.sourceforge.net/> for more information.
Unless you are intending to debug the kernel, say N here.

source code: