The solution is to use @RequestHeader annotation instead of feign specific annotations

@FeignClient(name="Simple-Gateway")
interface GatewayClient {    
    @RequestMapping(method = RequestMethod.GET, value = "/gateway/test")
    String getSessionId(@RequestHeader("X-Auth-Token") String token);
}

You can create an interceptor that'd inject headers in all requests as below:

@Bean
public RequestInterceptor requestInterceptor() {
  return requestTemplate -> {
      requestTemplate.header("user", username);
      requestTemplate.header("password", password);
      requestTemplate.header("Accept", ContentType.APPLICATION_JSON.getMimeType());
  };
}

Also it provides a way to set interceptor using property files as below:

feign:
  client:
    config:
      default:
        requestInterceptors:
          com.baeldung.cloud.openfeign.JSONPlaceHolderInterceptor

we can create the configuration with default as the client name to configure all @FeignClient objects, or we can declare the feign client name for a configuration

Reference: https://www.baeldung.com/spring-cloud-openfeign

EDIT: Another way is to set headers in yml as below:

feign:
  client:
    config:
      default:
        defaultRequestHeaders:
          Authorization:
            - Basic dXNlcjpwYXNzd29yZA==
          SomeOtherHeader:
            - Value1
            - Value2

I have done this before using a RequestInterceptor as follows:

@Component
public class MyRequestInterceptor implements RequestInterceptor {
  @Override
  public void apply(RequestTemplate template) {
    template.headers(getHeadersFromWherever());
  }
}

You can find some more useful information here:

https://github.com/Netflix/feign#user-content-setting-headers-per-target

Custom decoder

You could use a custom decoder:

public class CustomDecoder extends GsonDecoder {

    private Map<String, Collection<String>> headers;

    @Override
    public Object decode(Response response, Type type) throws IOException {
        headers = response.headers();
        return super.decode(response, type);
    }

    public Map<String, Collection<String>> getHeaders() {
        return headers;
    }
}

Return Response

Other solution could be return Response instead of List<Dto>:

@Headers({
    "Content-Type: " + MediaType.APPLICATION_JSON_UTF8_VALUE
})
@RequestLine("GET Dto/")
Response search();

Then deserialize body and get headers:

Response response = Client.search();
response.headers();
Gson gson = new Gson();
gson.fromJson(response.body().asReader(), Dto.class);

You can also achieve this by adding header to individual methods as follows:

@RequestMapping(method = RequestMethod.GET, path = "/resource", headers = {"myHeader=value"})

Using @Headers with dynamic values in Feign client + Spring Cloud (Brixton RC2) discusses a solution for dynamic values using @RequestHeader.