It’s a little complicated (this document explains it in great detail), but it’s basically neither. Instead the compiler puts a special .tdata section in the executable, which contains all the thread-local variables. At runtime, a new data section for each thread is created with a copy of the data in the (read-only) .tdata section, and when threads are switched at runtime, the section is also switched automatically.

The end result is that __thread variables are just as fast as regular variables, and they don’t take up extra stack space, either.