From Free Pascal wiki

GDB, abbreviated for GNU debugger and named gdb as an executable file, is the standard debugger for the GNU operating system and most other platforms including Linux, BSD, Mac OS X and Windows. Lazarus uses GDB as default debugger.

GDB is not a part of Lazarus. Unless you are using Windows or certain versions of Mac OS X with Xcode, you have to install it yourself before using it. Some versions of Xcode come with bundled GDB. After installation it will be necessary to set the path to gdb (for example /usr/bin/gdb) in Lazarus' debugger settings.

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