In this work, we establish a so-called "system-bath entanglement theorem," for arbitrary systems coupled with Gaussian environments. This theorem connects the entangled system-bath response functions in the total composite space to those of local systems, as long as the interacting bath spectral densities are given. We validate the theorem with direct evaluation via the exact dissipaton-equation-of-motion approach. Therefore, this work enables various quantum dissipation theories, which originally describe only the reduced system dynamics, for their evaluations on the system-bath entanglement properties. Numerical demonstrations are carried out on the Fano interference spectroscopies of spin-boson systems.