Host refers to attributes of the system where GDB runs. Target refers to the system where the program being debugged executes. In most cases they are the same machine, in which case a third type of Native attributes come into play.
Defines and include files needed to build on the host are host support. Examples are tty support, system defined types, host byte order, host float format. These are all calculated by autoconf when the debugger is built.
Defines and information needed to handle the target format are target dependent. Examples are the stack frame format, instruction set, breakpoint instruction, registers, and how to set up and tear down the stack to call a function.
Information that is only needed when the host and target are the same, is native dependent. One example is Unix child process support; if the host and target are not the same, calling fork to start the target process is a bad idea. The various macros needed for finding the registers in the upage, running ptrace, and such are all in the native-dependent files.
Another example of native-dependent code is support for features that are really part of the target environment, but which require #include files that are only available on the host system. Core file handling and setjmp handling are two common cases.
When you want to make GDB work as the traditional native debugger on a system, you will need to supply both target and native information.