Below you is my build instructions for GnuPG 2.1.20 released on 03-Apr-2017. These instructions are built for a headless Ubuntu 16.04 LTS server.
Or if you wish, you may use the install script to install GnuPG 2.1.20 by entring the following:
curl -sL "https://gist.github.com/mattrude/3883a3801613b048d45b/raw/install-gnupg2.sh" |sh
apt-get -y install libgnutls-dev bzip2 make gettext texinfo gnutls-bin \
build-essential g++
mkdir -p /var/src/gnupg21 && cd /var/src/gnupg21
gpg --list-keys
gpg --recv-keys 0x4F25E3B6 0xE0856959 0x33BD3F06 0x7EFD60D9 0xF7E48EDB
wget -c ftp://ftp.gnupg.org/gcrypt/libgpg-error/libgpg-error-1.27.tar.gz && \
wget -c ftp://ftp.gnupg.org/gcrypt/libgpg-error/libgpg-error-1.27.tar.gz.sig && \
gpg --verify libgpg-error-1.27.tar.gz.sig && tar -xzf libgpg-error-1.27.tar.gz && \
cd libgpg-error-1.27/ && ./configure && make && make install && cd ../
wget -c ftp://ftp.gnupg.org/gcrypt/libgcrypt/libgcrypt-1.7.6.tar.gz && \
wget -c ftp://ftp.gnupg.org/gcrypt/libgcrypt/libgcrypt-1.7.6.tar.gz.sig && \
gpg --verify libgcrypt-1.7.6.tar.gz.sig && tar -xzf libgcrypt-1.7.6.tar.gz && \
cd libgcrypt-1.7.6 && ./configure && make && make install && cd ../
wget -c ftp://ftp.gnupg.org/gcrypt/libassuan/libassuan-2.4.3.tar.bz2 && \
wget -c ftp://ftp.gnupg.org/gcrypt/libassuan/libassuan-2.4.3.tar.bz2.sig && \
gpg --verify libassuan-2.4.3.tar.bz2.sig && tar -xjf libassuan-2.4.3.tar.bz2 && \
cd libassuan-2.4.3 && ./configure && make && make install && cd ../
wget -c ftp://ftp.gnupg.org/gcrypt/libksba/libksba-1.3.5.tar.bz2 && \
wget -c ftp://ftp.gnupg.org/gcrypt/libksba/libksba-1.3.5.tar.bz2.sig && \
gpg --verify libksba-1.3.5.tar.bz2.sig && tar -xjf libksba-1.3.5.tar.bz2 && \
cd libksba-1.3.5 && ./configure && make && make install && cd ../
wget -c ftp://ftp.gnupg.org/gcrypt/npth/npth-1.3.tar.bz2 && \
wget -c ftp://ftp.gnupg.org/gcrypt/npth/npth-1.3.tar.bz2.sig && \
gpg --verify npth-1.3.tar.bz2.sig && tar -xjf npth-1.3.tar.bz2 && \
cd npth-1.3 && ./configure && make && make install && cd ../
wget -c ftp://ftp.gnu.org/gnu/ncurses/ncurses-6.0.tar.gz && \
wget -c ftp://ftp.gnu.org/gnu/ncurses/ncurses-6.0.tar.gz.sig && \
gpg --verify ncurses-6.0.tar.gz.sig && tar -xzf ncurses-6.0.tar.gz && \
cd ncurses-6.0 && export CPPFLAGS="-P" && ./configure && make && make install && cd ../
wget -c ftp://ftp.gnupg.org/gcrypt/pinentry/pinentry-1.0.0.tar.bz2 && \
wget -c ftp://ftp.gnupg.org/gcrypt/pinentry/pinentry-1.0.0.tar.bz2.sig && \
gpg --verify pinentry-1.0.0.tar.bz2.sig && tar -xjf pinentry-1.0.0.tar.bz2 && \
cd pinentry-1.0.0 && ./configure --enable-pinentry-curses --disable-pinentry-qt4 && \
make && make install && cd ../
wget -c ftp://ftp.gnupg.org/gcrypt/gnupg/gnupg-2.1.20.tar.bz2 && \
wget -c ftp://ftp.gnupg.org/gcrypt/gnupg/gnupg-2.1.20.tar.bz2.sig && \
gpg --verify gnupg-2.1.20.tar.bz2.sig && tar -xjf gnupg-2.1.20.tar.bz2 && \
cd gnupg-2.1.20 && ./configure && make && make install && echo $?
echo "/usr/local/lib" > /etc/ld.so.conf.d/gpg2.conf && ldconfig -v
gnupg-2.1.12 says it requires libgpg-error-1.21 or greater. Upgrading to that version fixed it to allow installation.