If a planeswalker is attacked and takes lethal damage, does it go to the graveyard or is it exiled?

When a planeswalker is attacked and dealt damage, that damage is converted into loyalty counter removal (one counter per damage). If a planeswalker ever has zero or fewer loyalty counters, it is put into its owner's graveyard as a state-based action — it is not exiled.

This is governed by CR 306.9, which states that a planeswalker with zero loyalty counters is put into its owner's graveyard as a state-based action (CR 704.5i). There is no rule that causes planeswalkers to be exiled when they die from damage or loyalty loss.

A common source of confusion is that some older planeswalker cards used the word 'exile' in their templating or that some spells specifically exile planeswalkers — but that is card-specific text, not a general rule. By default, a planeswalker that runs out of loyalty goes to the graveyard just like a creature with lethal damage goes to the graveyard.

Example: Your opponent attacks your Liliana of the Veil (which has 3 loyalty counters) with a 5/5 creature. You don't block. Liliana takes 5 damage, losing 5 loyalty counters, dropping to -2. State-based actions are checked, and since she has zero or fewer loyalty counters, she is put into your graveyard — not exiled.

Note: If your opponent controls a card like Vorinclex, Monstrous Raider that modifies loyalty counter rules, or uses a spell that specifically exiles planeswalkers, the outcome may differ — but the default rule is graveyard.