KDE will launch programs configured in the configuration files within the Autostart directories whenever you start your KDE session. You have the option to launch normal programs or to launch shell scripts, be it Bash, zsh, or other shell script types. You can also configure the scripts to execute during session logout.
If you need your script or program to launch during other stages of Linux startup, you can look into crontab or systemd.
You can create these configuration files manually, or you can use the provided Autostart tool from KDE's System Settings.
By default it is set to create a symlink / softlink to your actual shell script.
Make sure the user has execute permission on the script or application.
Related: How to set file and folder permission on Linux
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