Since Python is open source you can read the source code.
To find out what file a particular module or function is implemented in you can usually print the __file__ attribute. Alternatively, you may use the inspect module, see the section Retrieving Source Code in the documentation of inspect.
For built-in classes and methods this is not so straightforward since inspect.getfile and inspect.getsource will return a type error stating that the object is built-in. However, many of the built-in types can be found in the Objects sub-directory of the Python source trunk. For example, see here for the implementation of the enumerate class or here for the implementation of the list type.