You can check lead activity in two ways: Step Level or Lead Level.
Step Level
This is one of the ways to check your lead activity in the campaign.
Here are the steps to follow.
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: If you want to download the leads with specific filters, you may check the article here.
Lead Level
If you want to check activities for a specific lead, you can do the following steps.
Search for a lead in the Leads Section.
Click the selected lead.
Once selected, navigate to the Activities tab.