Here is a list of all macros with links to the files they belong to:

SFML_API_EXPORT : Config.hpp
SFML_API_IMPORT : Config.hpp
SFML_AUDIO_API : Audio/Export.hpp
SFML_DEBUG : Config.hpp
SFML_DEFINE_DISCRETE_GPU_PREFERENCE : GpuPreference.hpp
SFML_GRAPHICS_API : Graphics/Export.hpp
SFML_NETWORK_API : Network/Export.hpp
SFML_SYSTEM_API : System/Export.hpp
SFML_VERSION_IS_RELEASE : Config.hpp
SFML_VERSION_MAJOR : Config.hpp
SFML_VERSION_MINOR : Config.hpp
SFML_VERSION_PATCH : Config.hpp
SFML_WINDOW_API : Window/Export.hpp