How to implement conditional string formatting?

Your code actually is valid Python if you remove two characters, the comma and the colon.

>>> gender= "male"
>>> print "At least, that's what %s told me." %("he" if gender == "male" else "she")
At least, that's what he told me.

More modern style uses .format, though:

>>> s = "At least, that's what {pronoun} told me.".format(pronoun="he" if gender == "male" else "she")
>>> s
"At least, that's what he told me."

where the argument to format can be a dict you build in whatever complexity you like.

There is a conditional expression in Python which takes the form:

A if condition else B

Your example can easily be turned into valid Python by omitting just two characters:

print ("At least, that's what %s told me." % 
       ("he" if gender == "male" else "she"))

An alternative I'd often prefer is to use a dictionary:

pronouns = {"female": "she", "male": "he"}
print "At least, that's what %s told me." % pronouns[gender]

On Python 3.6+, use an f-string with a conditional expression (a one-line version of the if/else statement):

print(f'Shut the door{"s" if num_doors != 1 else ""}.')

You can't use backslashes to escape quotes in the expression part of an f-string so you have to mix double " and single ' quotes. To be clear, you can still use backslashes in the outer part of an f-string, so f'{2+2}\n' is fine.