How does make know which files to update

I noticed that when I make changes to some files and then I type make, it will run certain commands related to those files. If I don't change anything, then make doesn't do anything, saying that the program is up to date. This tells me that make has a way of knowing which files were changed since it was last run. How does it know? It doesn't seem to put anything in the directory where it is run, so it must be storing this information somewhere else.