I see it referred to as such here: https://ocw.mit.edu/courses/18-905-algebraic-topology-i-fall-2016/64c56d8bcc2967c1d289a61c959f3095_MIT18_905F16_lec11.pdf
But I am only able to see it as a morphism in Ab. I know that a natural transformation from $F$ to $G$ induces morphisms $F(X) \to G(X)$, but if I were to apply that to the functors $H_n \to H_{n-1}$, it would induce only morphisms $H_n(X, A) \to H_{n-1}(X, A)$ and $H_n(A, \emptyset) \to H_{n-1}(A, \emptyset)$, not $H_n(X, A) \to H_{n-1}(A, \emptyset)$.
What is the "natural transformation" being referred to in this case?
The homology functors $H_n$ are functors from the category $\mathbf{Top^2}$ of topological pairs $(X,A)$ and maps of pairs $f : (X,A) \to (Y,B)$ (i.e. maps $f : X \to Y$ such that $f(A) \subset B$) to the category $\mathbf{Ab}$ of abelian groups and homomorphisms.
Saying that $\partial : H_n(X, A) \to H_{n-1}(A, \emptyset)$ is a natural transformation is a little bit careless. So which functors are involved here?
Define a functor $\rho : \mathbf{Top^2} \to \mathbf{Top^2}$ by $$\rho(X,A) = (A,\emptyset) \text{ for the objects}, \\ \rho(f) = f \mid_A :A \to B\text{ for the morphisms} f : (X,A )\to (Y,B). $$
Then $\partial$ is a natural transformation $$\partial : H_n \to H_{n-1} \circ \rho $$ between the functors $H_n : \mathbf{Top^2} \to \mathbf{Ab}$ and $H_{n-1} \circ \rho : \mathbf{Top^2} \to \mathbf{Ab}$.