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);
}

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);