Great Scott

Where did the saying "Great Scott" come from?

I wouldn't call it a saying. The OED defines it thus: "[Great] In exclamations, as Great Cæsar, Scott, Sun!, meaningless euphemisms for Great God! [Citation:] 1885 'F. ANSTEY' Tinted Venus 60 Great Scott! I must be bad!" SS

Minced oath. (Only linguistic term I know and it has served me well.)

Sources I have suggest that the Scott here is probably the US general Winfield-Scott (1786-1866) who was popular after his victorious campaign against the Mexicans in 1847.