WordPress checks links embedded in pages and posts weekly and reports broken links needing to be corrected. Broken links most frequently occur when when content from another domain is moved or renamed. If you are linking to images or other media elements outside of the Library domain, consider adding that content to your site’s media library.
The report can be found in the Tools area within the left hand menu.
Opening the report will give you detailed information about the broken URL, the text to which the link is connected, and where it is located. Edit the URL to update it, or unlink to remove it entirely. It is always a good idea to recheck the link after editing to make sure it is now working correctly.