Azelf locations — where to catch

In Hisui (Legends: Arceus)

• Valor Cavern — Static Encounter

In Sinnoh (Diamond, Pearl & Platinum)

• Lake Valor — Static Encounter

In Johto & Kanto (HeartGold & SoulSilver)

• Sinjoh Ruins — Static Encounter

Other games (5)

• Brilliant Diamond / Shining Pearl (Gen 8): Lake Valor
• Sword / Shield — The Isle of Armor (Gen 8): Max Lair
• Ultra Sun / Ultra Moon (Gen 7): Ultra Space Wilds, Ultra Space
• Omega Ruby / Alpha Sapphire (Gen 6): Nameless Cavern
• Black 2 / White 2 (Gen 5): Unova Route 23

Azelf — full Pokédex entry