Answer: Zookeeper James here! Thanks for your question. There are actually many different kinds of dolphins that all live in different places.
What exactly is or isn't a "dolphin" though is different depending on who you ask, because every living animal has two names--a common name that everybody knows, and a scientific name that usually only scientists know--and so there are disagreements between what an animal is called scientifically and what it should be called commonly.
For example, dolphins are all classified in a group that scientists call "toothed whales," meaning they have teeth, whereas other whales like humpback whales and blue whales instead have special comb-like structures in their mouths called baleens that they use to catch millions of tiny animals like krill and fish.
Most "toothed whales" are either called dolphins or porpoises, however there are a couple of toothed whale groups that are not considered either of those, and one of those groups are the sperm whales. The obvious question is why sperm whales are not considered dolphins or porpoises when they are more closely related to them than baleen whales ("actual" whales) like humpbacks and blue whales. The simple answer is that they look different, so they're called something different. It's important to not get too tied up over what something is called though, because what's more important is what something is.
That being said, dolphins as in what most people think of (the bottlenose dolphin and its closest relatives) live all around the world. Most live in the ocean, but some, such as the Amazon river dolphin, live in fresh water.
Thanks for your question Cole! Dolphins, porpoises, and whales are actually some of my favorite animals, and I'm guessing they're yours too!