I have a couple of servers:
On gitlab, I have a webhook:
On Push events -> http://{jenkinsIP}:8080/gitlab
The GitLab plugin is awesome. Follow the instructions and everything works like a charm. It is also described how to send back information to GitLab from jenkins: https://github.com/jenkinsci/gitlab-plugin/wiki/Setup-Example. I faced problems with the GitLab webhook to jenkins due to https connection (500 error). I fixed it including the SSL cert in the GitLab server: https://gitlab.com/gitlab-org/gitlab-ce/issues/2681