There are files on the servers you can review however they are meant for diagnostic purposes and not reporting. The verbosity is also configurable to log greater detail but will have a performance/storage impact if adjusted.
For Security servers: If you are on Server 2008+ the location is DriveLetter:ProgramData\VMware\VDM\logs . (https://kb.vmware.com/s/article/1027744)
For UAG: Collecting Logs from the Unified Access Gateway Appliance
As techguy129 pointed out this data is also recorded in the Events Database if you have it configured under Horizon Admin Event Configuration. (Configuring Event Reporting ). Additional information on connection related events that are logged: (Horizon Connection Server Events )
If it's an active session you will see them under Horizon Admin 'Monitoring -> Sessions' and there is a column for 'security gateway' that shows which broker they connected through.
If it's a historical session you can go to Horizon Admin 'Monitoring -> Events' (if configured) and search the most recent 2000 events. Anything beyond 2000 events you will need to query the database directly.
You can reference these community threads regarding querying the database directly:
VMWare Horizon View Events (User Login History) how to source from (sql) database
View DB SQL how to extract Client's IP address
BenFB also pointed out the ability to send events to a syslog server as well which may be easier if you have an existing solution that parses out the data instead of querying SQL directly.
