They are stored inside the user's home directory. For example the superuser root's bash_history file could be found at the location /root/.bash_history.
Please note the file .bash_history is a hidden file. You will need to provide the "a" argument to ls in order to view files starting with a period "."
Or if you are trying to view it through a graphical file manager you will need to enable something like "Show hidden files and directories" from it's menu.