Missing headers in macOS 10.15 (Catalina)
Recently I also updated to Catalina and got the same problem.
As it was mentioned there is no equivalent package macOS_SDK_headers_for_macOS_10.14.pkg for Mac OS 10.15 which solves the problem for Mojave. 

There are several things you can do which worked for me.


Always try

xcode-select --install

Some answers recommend to agree with the license. I'm not sure if it's helpful but I did it anyway

sudo xcodebuild -license


and type agree.
Apparently you can find these headers in a /Library/Developer/CommandLineTools/SDKs/MacOSX10.15.sdk/usr/include directory. So you can add it to some environment/build system variable.