You can check lead activity in two ways: Step Level or Lead Level.
Step Level
Here are the steps to check lead activity in Step Level:
Choose your campaign from your Campaigns tab.
Scroll down and click Activity.
Choose an activity you want to check with the following filters:
Email Sent
Email Opened
Link Clicked
Reply Received
Auto reply
Note: To download leads with specific filters, you may check the article here.
Lead Level
You can follow the steps below to check activities for a specific lead:
Search for a lead in the Campaign --> Leads Section.
Click the selected lead.
Navigate to the Activities tab in the pop-up window.