Following this article, GDB is installed in the same prefix as glib (I'm using official distro packages. However, when I run info auto-load python-scripts, I get No auto-load scripts. I have enable python auto-loading, and it looks like the scripts are installed correctly:
/usr/share/gdb/auto-load/
└── usr
└── lib
├── libglib-2.0.so.0.8400.2-gdb.py
├── libgobject-2.0.so.0.8400.2-gdb.py
├── libgstreamer-1.0.so.0.2602.0-gdb.py
├── libisl.so.23.4.0-gdb.py
└── libstdc++.so.6.0.34-gdb.py
show auto-load safe-pathandshow configuration. Hopefully the auto-load safe-path includes something like$datadir/auto-load, the$datadircan be seen in the show configuration output as--with-gdb-datadir=.... With luck your data directory will be/usr/share/gdb. If that all looks good then you can doset debug auto-load onand restart your inferior, there will be a lot of output as GDB tried to find files to auto-load, but if you go through it you'll hopefully see what GDB is/isn't trying to load.