The content of WordPress pages and posts, alongside the core WordPress files, are stored in a database. Since WordPress allows you to build pages without manually typing the code yourself, most content changes made on the front end of WordPress will be automatically converted to code and stored in this database.
Some files, such as themes and images, are stored as files in directories on the server, and can be accessed directly through an FTP program.
A list and description of WordPress files can be found in the WordPress codex.
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