I press record on my Tello drone, but I can't seem to locate where my footage is being stored? It's not on my iPhone or my computer?

Dear customer,  In regard to your problem, if you use an iPhone to control, the photo and videos will be saved in the replay on the Tello APP. Please save it from the replay. The replay button is on the upper right corner of the APP controller page. After you save the photo and videos, you can find them in your Phone Gallery。 Hope my answer can help you. Thanks a lot.

If you are using a Pixel phone, though luck. It doesn't work. I've just received my Tello today and much to my disappointment, I found out that it won't save videos on my Pixel 4 XL!!!

Found a work around: use a third party app such as Tello FPV - Control the Ryze Tello drone FPV + RTH (Play Store). Thankfully someone more capable than DJI found a solution to save the video files within Android (I would guess that this is basic, but that't just me).