Get a list of SQL scripts that ran on my server The schema change history report tells me when the schema of a DB was last changed.

I would have run an x.sql file on that same DB for those changes to have happened. Does SQL Server log that I ran x.sql on 3/01/2016 at 3:15?
No it doesn't.  SQL Server doesn't really have any concept of script files, it just processes commands that are run against it.

You could potentially set up some kind of automated process and/or tracing to track this, maybe setting the application name to the name of the script and tracing that but there's nothing in the box that I'm aware of which will do this automatically.