Hi @imanol097,
thank you for your question. I found a similar problem on the forum here: Error when compiling macro: "'Pythia8/Analysis.h' file not found" , especially if you scroll a bit down, maybe try also adding: gSystem->Load("libEGPythia8"). If this doesn’t help, please provide us with a reproducer of your problem, and we will try to debug locally.
Cheers,
Marta