For better visibility of all the file locations where you can place scripts to be auto-loaded with inferior — or to protect yourself against accidental execution of untrusted scripts — gdb provides a feature for printing all the files attempted to be loaded. Both existing and non-existing files may be printed.
For example the list of directories from which it is safe to auto-load files (see Auto-loading safe path) applies also to canonicalized filenames which may not be too obvious while setting it up.
(gdb) set debug auto-load on
(gdb) file ~/src/t/true
auto-load: Loading canned sequences of commands script "/tmp/true-gdb.gdb"
for objfile "/tmp/true".
auto-load: Updating directories of "/usr:/opt".
auto-load: Using directory "/usr".
auto-load: Using directory "/opt".
warning: File "/tmp/true-gdb.gdb" auto-loading has been declined
by your `auto-load safe-path' set to "/usr:/opt".