в документации дословно написано следующее
First off, I assume you've got a MySQL or PostgreSQL database server up and running on your network somewhere and you've got the appropriate client libraries installed on the same machine where you're going to compile and run Nagios. - Да
I'm also assumimg you're familiar with creating databases and tables and managing accounts and security in the particular database system(s) you're going to use. If you're not, go out and learn before you attempt to compile Nagios with database support. - Вот я гуглю...