Fatal error: Python.h: No such file or directory under Ubuntu

Install the python-devlibrary according to the Python version used .

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

For example, in the case of using Python 3.6, pass:

sudo apt-get install python3.6-dev

Install python-dev.