How a C compiler like GCC defines the preprocessor macro to detect the current OS?
I looked into GCC's source code and found this builtin_define ("_WIN32"); but I'm not sure if this is where the macros are defined.
TL;DR: Basically, yes. The built-in macros are defined in a target description header file.
There is so often a Fine Manual To Read; in this case, it's the GCC internals manual. (Specifically, in the section on Run-time target specification, but don't start reading there; you'll need some context.)
There is a complete compendium of GCC documentation in case you need more information. (The internals documents are at the bottom of that page.)
(If you're comfortable using the GNU info reader and you're using a Ubuntu/Debian system, you can install the GCC documentation for your current GCC version with sudo apt-get install gcc-doc; that includes the GCC internals documentation.)