You can change it in your Discord server settings.

Steps

  1. Open your server.
  2. Click the server name at the top left.
  3. Go to Server Settings.
  4. Open Overview.
  5. Find System Messages Channel.
  6. Pick the text channel you want.
  7. Save your changes.

Notes

  • You need the Manage Server permission to edit this.
  • If you want no welcome/system messages at all, choose No System Messages.
  • If you’re using a bot for welcomes, that bot may have its own welcome-channel setting too.

A Discord help article explains that the welcome/system message channel is set from Server Settings → Overview → System Messages Channel. A recent guide gives the same basic steps for selecting the target text channel and saving changes.