vgdb: command not found

Have You tried accessing the binary with the full path?

Maybe Your $PATH variable doesn't contain the default paths? echo $PATH should give something like:

[root@server ~]# echo $PATH
/usr/local/sbin:/usr/local/bin:/sbin:/bin:/usr/sbin:/usr/bin:/root/bin

If it's empty, You may set the PATH variable with this command

export PATH="/usr/local/sbin:/usr/local/bin:/sbin:/bin:/usr/sbin:/usr/bin:/root/bin"

On CentOS possible default full paths are:

/usr/bin/vgdb - from package: valgrind

You may install the required package with command yum install {package}

On Debian possible default full paths are:

/usr/bin/vgdb - from package: valgrind
/usr/lib/debug/usr/bin/vgdb - from package: valgrind-dbg

You may install the required package with command apt-get install {package}
Error in other languages:
vgdb: bevel nie gevind nie
vgdb: comandă negăsită
vgdb: comando não encontrado
vgdb: commande introuvable
vgdb: command not found
vgdb: käsku ei ole
vgdb: không tìm thấy lệnh
vgdb: komanda nerasta
vgdb: Kommando nicht gefunden.
vgdb: kommandot finns inte
vgdb: komut yok
vgdb: nie znaleziono polecenia
vgdb: níor aimsíodh an t-ordú
vgdb: no se encontró la orden
vgdb: no s'ha trobat l'ordre
vgdb: opdracht niet gevonden
vgdb: parancs nem található
vgdb: perintah tidak ditemukan
vgdb: príkaz nenájdený
vgdb: příkaz nenalezen
vgdb: команда не найдена
vgdb: командата не е открита
vgdb: 命令找不到
vgdb: コマンドが見つかりません