SSH clients by default store the key fingerprint of the SSH servers that it has connected to. This is to establish a list of known hosts and for the server's key fingerprint to be checked against the stored copy of the fingerprint every time a connection is to be established.
You'll get a warning if the server's key fingerprint does not match the one locally stored and you will not be able to log in to the server. For this you'll have to update stored known host's SSH key fingerprint.
OpenSSH clients on Linux and other Unix-based operating systems store the key fingerprints in ~/.ssh/known_hosts file while PuTTY in Windows store these information in the system registry.
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