gdb supports xz-compressed debug info files, but objcopy can only compress using zlib at the moment, through --compress-debug-sections. It'd be great if xz compression support was added.
We now have --compress-debug-sections=zstd as another choice. To achieve a similar compression ratio like xz, zstd is slower to compress, but the decompression is much faster. Example: https://archlinux.org/news/now-using-zstandard-instead-of-xz-for-package-compression/ says "zstd and xz trade blows in their compression ratio. Recompressing all packages to zstd with our options yields a total ~0.8% increase in package size on all of our packages combined, but the decompression time for all packages saw a ~1300% speedup."