Had the same problem some time ago. You have to compile GDB yourself. Thats how I did it:
Install MinGW the normal distro you can’t use the one you used to compile qt, I don’t know why. They don’t work together so uninstall the other one before. Link: http://www.mingw.org/
Download qt-creator source. Link: https://github.com/qtproject/qt-creator
Modify \dist\gdb\Makefile.mingw add a new target: targets=arm-none-eabi,arm-none-linux-gnueabi,i686-pc-mingw32,arm-linux-gnueabihf
In \dist\gdb\ run make -f Makefile.mingw
Now you have your gdb for windows.
Hope I could help you.