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You can add an item in ~/.config/autostart,

e.g Open ~/.config/autostart/myscript.desktop, and paste the following contents

[Desktop Entry]
Name=MyScript
GenericName=A descriptive name
Comment=Some description about your script
Exec=/path/to/my/script.sh
Terminal=false
Type=Application
X-GNOME-Autostart-enabled=true

For example(x11vnc):

[Desktop Entry]
Type=Application
Name=x11vnc
Exec=x11vnc -usepw -reopen -bg -forever &
Comment=Starts an x11vnc server on port kali:5900

And make sure the script is executable.