I am studying the python regular expression (re.py) source code.

In re.py they imported the module sre_compile:

import sre_compile

and I look at the module sre_compile there they imported the module _sre in the line 13

import _sre, sys

I searched for the module _sre.py but I could not find it anywhere, I even tried to
locate _sre.py in my shell.

In the end I tried to locate it with the python interpreter. I imported _sre and I was trying to look for the __file__ attribute of _sre but it gave me the following error:

AttributeError: 'module' object has no attribute '__file__'

Where can I find the _sre module source code?

_sre is the C-extension that implements most of the re module functionality. C-extensions usually do not have a __file__ attribute.

As such you are looking for the _sre.c source file instead.