Preheat oven to 400 degrees F. Line a sheet pan with parchment paper.
Sprinkle chicken liberally with Cajun seasoning on prepared sheet pan. Roast chicken for 15 minutes.
Combine oil and flour in a large cast-iron or enameled Dutch oven over medium heat. Cook, whisking frequently, until it reaches a milk chocolate brown, about 30 minutes.
Continue to cook the roux until it reaches a dark chocolate brown color, then add the onions, celery, bell peppers and half of the okra. Cook, stirring occasionally, until tender, then add garlic and cook, stirring occasionally, for another 5 minutes.
Add the sausage, Worcestershire sauce, salt, pepper and bay leaves and stir to combine. Add chicken stock and beef stock and bring to a roaring boil. Add the chicken, green onions, cayenne and remaining okra.
Simmer for 1 hour, then remove the chicken thighs. Take the meat from the bones and discard the skin. Stir the chicken back into the pot along with the file powder. Skim off any excess grease that has accumulated at the top before serving. Sprinkle with more file powder as garnish.