Python SimpleHttpServer howto
I hope starting python server in the correct folder path of index.html file should solve the issue.
P.S I have faced the same issue and realised that I have started the python server in the parent folder of index.html file which didn't have the script.js file
I have: I created index.html - the simplest html page & launch my simple http server with python -m SimpleHttpServer 8000. 
I want: make index.html use javascript which depends on JQuery.
Problem: Seems SimpleHttpServer doesn't load JS files. I mean if I write <script src="myScript.js"/> inside index.html  - myScript.js won't be loaded by browser.
Question: Why browser doesn't download JS files?
P.S. I use OSX Mavericks 10.9.4