Hi there,
I'm using GM.xmlHttpRequest as follows:

GM.xmlHttpRequest({
      method: "GET",
      url: "https://mycoolsite.com/mypage.html",
      onload: function(response) {
          /* ... */
      }
});

With Tampermonkey v4.8.41 in Chrome v75.0.3770.100 my code works like a charm. With Tampermonkey v4.9.5941 in Firefox 68.0 it seems that the ajax call does not retrieve the page set into "url" variable... Instead, it asks for the url of the current page where my userscript is running.

Any clue?

Fixed, I had to manually pass the cookies into headers variable like this:

GM.xmlHttpRequest({
      method: "GET",
      url: "https://mycoolsite.com/mypage.html",
      headers: {
        'Cookie' : 'mycookiename:mycookievalue;anothercookiename:anothercookievalue'
      },
      onload: function(response) {
          /* ... */
      }
});

Hope this can help anyone facing the same issue.