The Mendix Business Server MBS is taking care of the database interactions. Performing crud operations in Mendix applications is also taken care of by Mendix. You do your CRUD actions by adding activities to your microflows and nanoflows: create-object, change-object, delete etc
If you run the app locally from Mendix Studio Pro using the integrated database, you can see the database from Console => Advanced => Start built in database.
If you want to connect to an existing database, you can have a look at the “Database Connector”: https://docs.mendix.com/appstore/connectors/database-connector
Note: this has nothing to do with the built-in database that is included in every Mendix application. See Tim’s answer for that one.