Some are made here in the USA, some in Mexico. Fender also produces the Squier line of guitars, which have (I think) been made in Japan, Korea, and possibly Mexico. I do know for a fact that they make some in Indonesia because that's where mine is from. The foreign made Fenders are made of quality woods, just like here, but some of the parts aren't made to the same specifications and/or are made of different materials. Example; the 'blocks' are smaller and made of cheaper, less dense, metal.
There is a myth out there that some Fenders (real ones, not the Squiers) were made in Japan, but I don't believe that's true. This probably got started because, like all guitar companies, Fender uses manufacturers that also make guitars for other companies, with only minor cosmetic changes.

