Of course, no one but Google knows how much weight is given to keywords found in the directory and file names. My own anecdotal experience has been that this does help with rankings. And it certainly seems to be the case that keywords in your domain name (TLD) provide more weight to your keywords.

On a Google SERP, we see search terms bolded in the anchor text “headline” (which is the title tag content), the description beneath the headline (usually the content of the description meta tag), and in the full URL (usually green text beneath the description. This indicates that Google is parsing or “noticing” the presence of the search terms. However, this bolded text in the URL doesn’t indicate how much weight those keywords are given by Google.

All the evidence I’ve seen indicates that if the title and meta tags, and the content of the page (using solid semantic markup) support the keywords in the domain, directory and file names, this correlation will result in a minor improvement in rankings.

I would certain invite others to offer their own opinions regarding this.