In the WordPress database, of course! But more specifically, they’re stored in the wp_posts and wp_postmeta tables.
WooCommerce products are a custom post type, so they’re stored in the same place as all other posts (in the wp_posts table). The main difference is that they have a product_type taxonomy term assigned to them. This tells WooCommerce that they’re a product, and not a post or page.
The wp_postmeta table is where all the product data is stored. This includes things like the price, stock status, SKU, etc. Each piece of data has its own meta key (for example, _price for the price) and is saved as a separate row in the database.
So, to sum up, WooCommerce products are stored in the WordPress database, in the wp_posts and wp_postmeta tables. They’re just like any other post type, with a few extra bits of data added in.