When I add mylib to python39._pth, Python treats
it relatively to c:\Python3 (where my embedded python resides).

>>> import sys
>>> print('\n'.join(sys.path))
c:\python3\python39.zip
c:\python3
c:\python3\lib
c:\python3\mylib
c:\python3\lib\site-packages
>>>

However, my mylib directory is in my current project directory,
which is obviously not under c:\Python3

I know that the solution is to enter full path to mylib into python39._pth, but it is quite unconvenient as I have multiple projects, each with its own local modules in mylib directory.

Is there a way to simply add only one mylib
entry into python39._pth?

I'm afraid not. The ._pth file is intended for embedding applications that have a static set of search paths.

You may want to try adding a startup file (search for PYTHONSTARTUP) that modifies sys.path directly. Or alternatively if you rename the ._pth file to a regular .pth file, it should disable the isolation protection and use the more flexible algorithm, which *I believe* will resolve relative paths against the current directory rather than where the file lives.