Where can I find the file that contains "Shop By" on the category pages?
You can find in these files:
vendor/magento/module-catalog/view/frontend/templates/navigation/left.phtml
vendor/magento/module-layered-navigation/view/frontend/templates/layer/view.phtml
vendor/magento/theme-frontend-luma/Magento_LayeredNavigation/templates/layer/view.phtml