..\EnumerableExtensions.csx

#r "Newtonsoft.Json"

using System;
using System.Net;
using System.Threading.Tasks;
using Newtonsoft.Json;
using System.Linq;

public static string ToJoinedString<T>(this IEnumerable<T> source, string separator = "")
{
    return string.Join(separator, source);
}

public static IEnumerable<TSource> Concat<TSource>(this IEnumerable<TSource> source, params TSource[] values)
{
    if (source == null) throw new ArgumentNullException("source");

    return source.ConcatCore(values);
}

private static IEnumerable<TSource> ConcatCore<TSource>(this IEnumerable<TSource> source, params TSource[] values)
{
    foreach (var item in source) yield return item;
    foreach (var x in values) yield return x;
}

..\NugetSample.csx

#r "Newtonsoft.Json"

using System;
using System.Net;
using System.Threading.Tasks;
using Newtonsoft.Json;
using System.Linq;
using Octokit;
using Octokit.Internal;

public static string NugetTest()
{
     var hoge = typeof(Octokit.GitHubClient).Assembly.FullName;
     return hoge;
}

project.json

{
 "frameworks": {
   "net46":{
     "dependencies": {
       "Octokit": "0.19.0"
     }
   }
 }
}

run.csx

#r "Newtonsoft.Json"
#load "test.csx"
#load "..\EnumerableExtensions.csx"
#load "..\NugetSample.csx"

using System;
using System.Net;
using System.Threading.Tasks;
using Newtonsoft.Json;
using System.Linq;

public static async Task<object> Run(HttpRequestMessage req, TraceWriter log)
{
    log.Verbose($"Webhook was triggered!");

    string jsonContent = await req.Content.ReadAsStringAsync();
    dynamic data = JsonConvert.DeserializeObject(jsonContent);

    if (data.first == null || data.last == null) {
        return req.CreateResponse(HttpStatusCode.BadRequest, new {
            error = "Please pass first/last properties in the input object"
        });
    }

    // Load .csx from same directory
    var hoge = Test();
    log.Verbose(hoge);
    
    // Load .csx from same directory + pass TraceWriter
    Test2(log);
    
    // Load .csx from parent directory
    var concat = Enumerable.Range(1, 10).Select(x => x * x).ToArray().ToJoinedString(",");
    log.Verbose(concat);
    
    // Load NuGet .csx test
    var fuga = NugetTest();
    log.Verbose(fuga);
    
    return req.CreateResponse(HttpStatusCode.OK, new {
        greeting = $"Hello {data.first} {data.last}!"
    });
}

test.csx

#r "Newtonsoft.Json"

using System;
using System.Net;
using System.Threading.Tasks;
using Newtonsoft.Json;

public static string Test()
{
    return "External function loaded!";
}

public static void Test2(TraceWriter log)
{
    log.Verbose($"External function2 loaded!");
}