With GDB (GNU Debugger), there is no need for any manual setup if you're using MinGW compiler on Windows, as it usually comes together with your Qt installation. If you're running other operating systems such as Linux, you may need to install it manually before linking it up with your Qt Creator. Qt Creator detects the existence of GDB and links it with your project automatically. If it doesn't, you can easily find the GDB executable located in your Qt directory and link it by yourself.

CDB (Debugging Tools for Windows) on the other hand, needs to be installed manually on your Windows machine. Do note that Qt doesn't support the built-in debugger of Visual Studio. Therefore, you need to install the CDB debugger separately by selecting an optional component called debugging tools for windows while installing the Windows SDK. Qt Creator also normally would recognize the existence of CDB and put it on the debugger list under the Debuggers Options page. You can go to Tools | Options | Build and Run | Debuggers to look for the settings as seen in the following screenshot: