GDB is looking for files which are created that contain GDB debugging information.
I can only draw a parallel, because I don't know mysql programming at all. But it appears that you can debug SQL language using GDB.
For C or C++ programming, the source files are compiled and when they are compiled, a compilation switch is used, "-ggdb" in order to generate helpful symbols for GDB debugging:
Code:
$ gcc -ggdb -o output-file source-file.c
And so when someone runs GDB against that output file, GDB will recognize the debugging symbols.
You can see if there is a compilation switch which will enable GDB debugging symbols in your resultant image file. If you are using a library or a common set of provided libraries where you are trying to debug, you'll have to either get the source of that library or find a set of it which has been compiled for debugging. The first option is usually the best, which is to recompile that library on your own and include symbols.