The full Gurobi installation packages include a Python distribution to use Gurobi's interactive shell. This can be started using gurobi.sh on Linux and macOS or gurobi.bat on Windows. Please note that starting with version 11.0.2, the Gurobi Interactive Shell has been deprecated.
If you install Gurobi via Anaconda, i.e. conda install -c gurobi gurobi, you already have a working Python environment, and there is no need for the interactive shell. You can start IPython or a Jupyter notebook for an interactive interface. To test whether a conda package installation and your license file are set up correctly, you should run gurobi_clfrom a command line.
A typical error message when trying to run gurobi.sh with a Gurobi conda package installation is:
Could not open PYTHONSTARTUP
FileNotFoundError: [Errno 2] No such file or directory: '/home/ubuntu/anaconda/lib/gurobi.py'