How to set up desktop shortcuts in KDE to run terminal commands?

To configure KDE desktop shortcut to run specific command, you have to link the full path of the application.

i.e. use Exec=/home/(user)/Desktop/spy.sh instead of Exec=/Desktop/spy.sh (Because if you type /Desktop/spy.sh the system will actually find files from / --> /Desktop, which this folder will probably never exist.)

And for runing Spyder, follow dessert's answer.

Also, make sure spy.sh is executable, or else Permission denied will appear.

You don't need a script to do that, in a terminal just do

$ which spyder

This gives you the full path to the file that's executed, I suppose /usr/bin/spyder. Then just use that path for your Exec= line.

Exec=/usr/bin/spyder