SSH clients, by default, store the key fingerprint of the SSH servers that it has connected to. It creates a list of known hosts, and the server's key fingerprint is checked against the stored copy every time it establishes a connection.
You'll get a warning and the connection aborted if the server's key fingerprint does not match the one locally stored. It prevents you from connecting to a wrong or rogue server, but if you know it's the correct server, you'll have to update the stored known host's SSH key fingerprint to proceed.
OpenSSH clients on Linux and other Unix-based operating systems store the key fingerprints in ~/.ssh/known_hosts file while PuTTY in Windows stores this information in the system registry.
Comment anonymously. Login not required.