If your kernel image was compiled with the options
CONFIG_IKCONFIG=y
CONFIG_IKCONFIG_PROC=y
then you can get the kernel image's configuration from /proc/config.gz
or by using
/pathtokernelsource/scripts/extract-ikconfig pathtokernelimage > /tmp/config
From there you can search for CONFIG_KGDB
using grep or zgrep depending on whether you are viewing the compressed or uncompressed configuration file.
/pathtokernelsource/scripts/extract-vmlinux pathtokernelimage > /tmp/vmlinux
will also extract the vmlinux executable from the image.
If this has symbols them you can search for kgdb_arch_init or kgdb_arch_* in either the output of nm on this file or in the System.map for your kernel image as Mats Petersson mentioned in the comments.