Two problems with what you have.

1. You're creating a palettised image, and anti-aliasing dooesn't work too well with them.
2. The line you've drawn is at exactly 45 degrees, and doesn't get anti-aliased.

Try this:

use strict;
use GD;

my $gd = GD::Image->new(400,400, 1);  ## truecolor

my $black = $gd->colorAllocate(0,0,0);
my $white = $gd->colorAllocate(255,255,255);

$gd->filledRectangle( 0,0, 399,399, $white);
$gd->setAntiAliased($black);

for my $y ( map 10*$_, 0 .. 39 ) { ## All these will be anti-aliased
    $gd->line( 0,0, 399,$y, gdAntiAliased);
}
for my $x ( map 10*$_, 0 .. 39 ) { ## And these
    $gd->line( 0,0, $x,399, gdAntiAliased);
}

$gd->line( 0,0, 399,399, gdAntiAliased); ## But not this

open(IMG,">","out.png");
binmode IMG;
print IMG $gd->png;
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