I've solved the problem by using strace on gdb, grepping the "open" syscalls.
It seems that gdb makes a search for python-gdb.py in several paths it guesses (according to the python binary), and whenever the file is not found it just fails silently.
Eventually the way to solve the problem is to link /usr/lib/debug/usr/bin/python2.7-gdb.py
into the env's bin directory. The name of the link should be <python binary name>-gdb.py
, being in my case python2.7-dbg-gdb.py
(...).
After that, everything seems to work.