I am using Ubuntu 16.06 and python 3.6.3.
Install pybind using:

pip3 install pybind11

The error I get is:

x86_64-linux-gnu-gcc -pthread -DNDEBUG -g -fwrapv -O2 -Wall -Wstrict-prototypes -g -fstack-protector-strong -Wformat -Werror=format-security -Wdate-time -D_FORTIFY_SOURCE=2 -fPIC -I/home/simson/local_env/include -I/usr/include/python3.6m -c /tmp/tmp8qrex4xk.cpp -o tmp/tmp8qrex4xk.o -std=c++14
cc1plus: warning: command line option ‘-Wstrict-prototypes’ is valid for C/ObjC but not for C++
x86_64-linux-gnu-gcc -pthread -DNDEBUG -g -fwrapv -O2 -Wall -Wstrict-prototypes -g -fstack-protector-strong -Wformat -Werror=format-security -Wdate-time -D_FORTIFY_SOURCE=2 -fPIC -I/home/simson/local_env/include -I/usr/include/python3.6m -c /tmp/tmp3i7k987z.cpp -o tmp/tmp3i7k987z.o -fvisibility=hidden
cc1plus: warning: command line option ‘-Wstrict-prototypes’ is valid for C/ObjC but not for C++
building 'python_example' extension
creating build
creating build/temp.linux-x86_64-3.6
creating build/temp.linux-x86_64-3.6/src
x86_64-linux-gnu-gcc -pthread -DNDEBUG -g -fwrapv -O2 -Wall -Wstrict-prototypes -g -fstack-protector-strong -Wformat -Werror=format-security -Wdate-time -D_FORTIFY_SOURCE=2 -fPIC -Iinclude -Iinclude -I/home/simson/local_env/include -I/usr/include/python3.6m -c src/main.cpp -o build/temp.linux-x86_64-3.6/src/main.o -DVERSION_INFO="0.0.1" -std=c++14 -fvisibility=hidden
cc1plus: warning: command line option ‘-Wstrict-prototypes’ is valid for C/ObjC but not for C++
src/main.cpp:1:31: fatal error: pybind11/pybind11.h: No such file or directory
compilation terminated.

I checked and pybind11.h does exist in the site-packages of the local environment

Was this tested on Ubuntu 16.04?