In a large heavy-bottomed Dutch oven or pot, heat the oil over medium heat. Gradually whisk in the flour. Cook, whisking constantly, until the roux turns a deep milk-chocolate brown, about 25–30 minutes. Do not walk away—burnt roux ruins the gumbo. Adjust heat to avoid scorching; it should smell nutty.
Once the roux reaches the right color, immediately stir in the onion, bell pepper, and celery (the Holy Trinity). Cook for 5–7 minutes, stirring often, until softened. Add garlic and cook 1 more minute.
Gradually pour in the chicken stock while whisking to combine completely with the roux mixture. Add bay leaves, thyme, smoked paprika, cayenne, Worcestershire sauce, and a pinch of salt and pepper. Bring to a boil, then reduce heat to a low simmer.
Add the chicken pieces and sliced andouille to the pot. Return to a gentle simmer. Cook uncovered for 1 hour, stirring occasionally, until the chicken is very tender and the gumbo has thickened and darkened. Ensure chicken reaches an internal temperature of 165°F (74°C).
Stir in the okra and continue to simmer for 20–30 minutes, until okra is tender and the stew is glossy. If using fresh okra, the gumbo will thicken slightly. Adjust seasoning with salt and cayenne.
Remove bay leaves. Ladle gumbo over hot rice in bowls. Sprinkle each serving with a pinch of filé powder and sliced green onions. Pass hot sauce at the table.