How do I make Jenkins 2.0 execute a sh command in the same directory as the checkout?

You can enclose your actions in dir block.

checkout scm
stage "Build Pex"
dir ('<your new directory>') { 
    sh('./build.sh')
}
... or ..
checkout scm
stage "Build Pex"
sh(""" <path to your new directory>/build.sh""")

...

<your new directory> is place holder your actual directory. By default it is a relative path to workspace. You can define absolute path, if you are sure this is present on the agent.

The reason that your script doesn't work is because build.sh is not in your PATH.

The Jenkinsfile is running a "sh" script, whose entire contents is the string build.sh. The parent script is in the "@tmp" directory and will always be there - the "@tmp" directory is where Jenkins keeps the Jenkinsfile, essentially, during a run.

To fix the problem, change your line to sh "./build.sh" or sh "bash build.sh", so that the sh block in the Jenkinsfile can correctly locate the build.sh script that you want to execute.

I am having the same issue and dir is not helping, possibly because I am working inside a subdirectory of the tmp dir itself (for reason not germane here). My code looks like this

dir(srcDir){
  sh 'pwd; la -l; jenkins.sh "build.sh"'
}

(the pwd and la -l statements were added just for debugging. Issue exists w/o them.) With them I get output like:

+ pwd
/jenkins/workspace/aws-perf-test@tmp/repos/2
+ ls -l
total 72
-rw-r--r-- 1 jenkins jenkins   394 May 19 12:20 README.md
drwxr-xr-x 3 jenkins jenkins  4096 May 19 12:20 api-automation
-rwxr-xr-x 1 jenkins jenkins   174 May 19 12:20 build-it.sh
-rwxr-xr-x 1 jenkins jenkins   433 May 19 12:20 build-release.sh
-rwxr-xr-x 1 jenkins jenkins   322 May 19 12:20 build.sh
drwxr-xr-x 3 jenkins jenkins  4096 May 19 12:20 ix-core
drwxr-xr-x 3 jenkins jenkins  4096 May 19 12:20 ix-java-client
drwxr-xr-x 3 jenkins jenkins  4096 May 19 12:20 ix-rest-models
drwxr-xr-x 4 jenkins jenkins  4096 May 19 12:20 ix-service
drwxr-xr-x 7 jenkins jenkins  4096 May 19 12:20 ixternal
drwxr-xr-x 5 jenkins jenkins  4096 May 19 12:20 ixtraneous-stuff
-rwxr-xr-x 1 jenkins jenkins   472 May 19 12:20 jenkins.sh
-rw-r--r-- 1 jenkins jenkins 16847 May 19 12:20 pom.xml
+ jenkins.sh build.sh
/home/jenkins/workspace/aws-perf-test@tmp/repos/2@tmp/durable-a3ec0501/script.sh: line 2: jenkins.sh: command not found

I ultimately did this:

dir(srcDir){
  sh 'cdr=$(pwd); $cdr/jenkins.sh "build.sh"'
}