You can search for payments across all payment files by going to Payments > File payments > Files and pressing 'Search for payments in files'. Once you have made a search, you can narrow down the results using the filters above the list of payment results.
You can find rejected payments in particular by using the quick search buttons to the right of the search field. If you want to find rejected payments within a particular payment file, open the file and select ‘Rejected’ in the Status filter.