I have this confusion when reading some notes.
Theorem. Let $0_\star\rightarrow A_\star\overset{f}{\rightarrow }B_\star\overset{g}{\rightarrow }C_\star\rightarrow 0_\star$ be a short exact sequence of chain complexes. Then there is a natural homomorphism $\partial:H_n(C)\rightarrow H_{n-1}(A)$ s.t. the following sequence is exact.
I would like to understand the naturality here. It is probably in the sense of natural transformation. But I would like to see what are the functors from what to what, in order to regard this $\partial$ as a natural transformation.

Let $\mathcal {Chain}$ the the category of chain complexes of abelian groups. $\mathcal{Chain}$ is an abelian category.
Let $\mathcal{ShExact}$ be the category of short exact sequences of objects in $\mathcal{Chain}.$
There are forgetful functors $A,B,C:\mathcal{ShExact}\to \mathcal{Chain},$ sending $0\to a_*\to b_*\to c_*\to 0$ to $a_*, b_*,c_*,$ respectively.
There are homology functors $H_i:\mathcal {Chain}\to \mathcal{Ab}.$
Then this is a natural function $\partial:H_{i}\circ C\to H_{i-1}\circ A$ for each $i.$
Of course, the rest of the long exact sequence is also natural. $H_i\circ A\to H_i\circ B$ and $H_i\circ B\to H_i\circ C.$ Those are more obviously existing and natural.
We can avoid the indexes by thinking of homology as a single functor $H$ going from $\mathcal {Chain}$ to $\mathcal C=\mathcal {Ab}^{\mathbb N}.$ Then you need to add a shift functor on $\mathcal C,$ with $S(A_0,A_1,\dots)=(0,A_0,A_1,\dots).$
Then you have natural functions:
$$\alpha: H\circ A\to H\circ B\\ \beta: H\circ B\to H\circ C\\ \partial: H\circ C\to S\circ H\circ A.$$
Again, only $\partial$ is surprising.