In a large Dutch oven or soup pot over medium-high heat, add 1 tablespoon of the oil.
Add the sausage slices to the heated oil and sauté until they are browned, about 5-7 minutes. Transfer them to a large plate and set them aside.
Evenly season the chicken thighs on both sides with 1 teaspoon of the Cajun seasoning.
Place the seasoned chicken thighs skin-side down in heated oil and sear until they are golden-brown, about 3-4 minutes per side. Note: The meat will not be cooked through.
Transfer the chicken thighs to the plate with the sausage slices and set it aside.
Transfer the Dutch oven from the heat and let it sit until it has slightly cooled.
Place the Dutch oven over medium-low heat. Add the remaining oil and the flour and cook, whisking constantly, until it is the color of caramel and a roux forms, about 10-15 minutes.
Add the bell peppers, the celery, and the shallots to the roux and sauté, occasionally scraping the bottom of the Dutch oven, until the vegetables are slightly tender, about 5 minutes.
Add the garlic and the tomato paste to the veggie mixture and sauté, about 1 minute.
Gradually add 3 cups of the chicken broth to the veggie mixture and use a wooden spoon to loosen any of the browned bits from the bottom of the Dutch oven.
Add the remaining chicken broth, the remaining Cajun seasoning, the bay leaves, 1/4 teaspoon of the smoked paprika, the cayenne pepper, the sautéed sausage slices, and the chicken thighs to the veggie mixture and increase the heat. Bring the chicken mixture to a boil.
Reduce the heat to medium and simmer the gumbo, occasionally skimming off the fat that rises to the top, until the chicken thighs reach an internal temperature of at least 165 degrees F and the flavors have melded, about 1 hour 30 minutes.
Transfer the cooked chicken thighs to a cutting board and discard the skin and the bones.
Use two forks to shred the chicken and return it to the gumbo. Stir to combine.
Remove and discard the bay leaves from the gumbo.
Taste the gumbo and season with the extra paprika and more of the cayenne, as needed. Stir to combine.
Serve.