Where do Darkness and Megumin live? In the beginning of season 1, we see Kazuma and Aqua in the stables quite often.  However, after Darkness and Megumin join the party, we don't see them in the stables, except for some shots in the ending credits.

Where do Darkness and Megumin live?


   Eventually, when they all move in the house, they live together.  But up until then, we don't see any "at home" activities of Darkness and Megumin like we do for Kazuma and Aqua.
Within the anime, there has been no mention of where Darkness and Megumin lived prior to obtaining the mansion (not that I recall). However, in the KonoSuba manga, Darkness and Megumin both had slept in the stables as illustrated:



That's probably the most evidence I could get.