In this Makefile, the $INSTALL_DATA command looks like this: $(INSTALL_DATA) ./$(PYTHON_DIR)/$$file $(PYTHON_INSTALL_DIR)/$$dir ; This fails on the Python files to be installed with a file not found error. Correcting it to $(INSTALL_DATA) ./$(PYTHON_SRCDIR)/$$file $(PYTHON_INSTALL_DIR)/$$dir ; allowed the install to complete successfully. This was with a tarred version I downloaded on Oct. 23.
My build environment was Solaris 10. I was using gcc 4.8.1.
I think "make all" should have copied the python files into the relevant directory. We stage them for install in this funny way so that you can set gdb up to run from the build directory, and still have it find its python code. I don't know why this didn't work for you. Please try "make all" first in data-directory.
Several years without response. If this is still a bug, please reopen. I think we'll need more information in this case.