Changelogs are not downloaded anywhere. They are received from the repository online.
You can find changelogs HERE.
This is for main. Same way you can find changelogs for other sections.
man apt-get
changelog
changelog downloads a package changelog and displays it through
sensible-pager. The server name and base directory is defined in
the APT::Changelogs::Server variable (e.g.
packages.debian.org/changelogs[1] for Debian or
changelogs.ubuntu.com/changelogs[2] for Ubuntu). By default it
displays the changelog for the version that is installed. However,
you can specify the same options as for the install command.