All of your voicemails are stored in the Exotel inbox.

To locate voicemails, go to your search bar on the top right and select Call Type as "Voicemail". You can even specify other details like Period, Exophone, Agent etc to narrow down your search.

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All your voicemails will be displayed with details like Date & Time of Call and the recording. 

The icon highlighted in the black box in the image above indicates a voicemail. You can use this to identify voicemails in your inbox.