fatal error: Python.h: No such file or directory

Looks like you haven't properly installed the header files and static libraries for python dev. Use your package manager to install them system-wide.

For apt (Ubuntu, Debian...):

sudo apt-get install python-dev   # for python2.x installs
sudo apt-get install python3-dev  # for python3.x installs

For yum (CentOS, RHEL...):

sudo yum install python-devel    # for python2.x installs
sudo yum install python3-devel   # for python3.x installs

For dnf (Fedora...):

sudo dnf install python2-devel  # for python2.x installs
sudo dnf install python3-devel  # for python3.x installs

For zypper (openSUSE...):

sudo zypper in python-devel   # for python2.x installs
sudo zypper in python3-devel  # for python3.x installs

For apk (Alpine...):

# This is a departure from the normal Alpine naming
# scheme, which uses py2- and py3- prefixes
sudo apk add python2-dev  # for python2.x installs
sudo apk add python3-dev  # for python3.x installs

For apt-cyg (Cygwin...):

apt-cyg install python-devel   # for python2.x installs
apt-cyg install python3-devel  # for python3.x installs

Note: python3-dev does not automatically cover all minor versions of python3, if you are using e.g. python 3.8 you may need to install python3.8-dev.

On Ubuntu, I was running Python 3 and I had to install

sudo apt-get install python3-dev

If you want to use a version of Python that is not linked to python3, install the associated python3.x-dev package. For example:

sudo apt-get install python3.5-dev