Matplotlib doesn't seem to find files in the current working directory when running latex. Does anyone know where it looks for files?

The background is: I have a huge preamble that I \input into latex before processing (lots of macros, various usepackages, etc.). In a stand-alone paper, I do \input{BigFatHeader.tex}. So when I use matplotlib, I try to just input this file in the preamble. The python code to do this is

matplotlib.rcParams['text.latex.preamble'].append(r'\input{BigFatHeader.tex}')

And I can verify that that file is in the cwd -- I see it when I ls, or I can do os.path.isfile("BigFatHeader.tex") and get True. But when I try to plot something using latex, python spits out a big error message from the latex process, that culminates in ! LaTeX Error: File BigFatHeader.tex not found. So presumably it changes to some other directory (not /tmp/; I checked) to do its work. Any idea where this might be?

My minimal working example is:

import matplotlib
import matplotlib.pyplot as plt
matplotlib.rcParams['text.latex.preamble'] = r'\input{BigFatHeader.tex}'
matplotlib.rcParams['text.usetex'] = True
plt.plot([1,2])
plt.savefig('MWE.pdf')

Where BigFatHeader.tex might be as simple as

\usepackage{bm}
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