Every time you go to the hospital or your doctor, they record the visit. They have various forms and codes they fill out saying what was done and an overall indication of your general health (height, weight, blood pressure, temperature). If you have insurance, they send pertinent information to your insurance so they'll get paid.
Every place you visit will have its own records. They won't know what the other doctors know, unless you have that information transferred/shared. There's a good chance your insurance knows it all, though!
Anytime you go to the doctor, they fill out forms, those are your medical records. You should always ask for a copy for your own personal records. In case you move, or have to have them for some other reason. Doctors usually dispose of them after 7 years. You might want to keep them longer.