In Site Audit, the following issues report the broken pages found during the crawl:
404 page (internal);
4xx page (internal);
500 page (internal);
5xx page (internal).
But it's not really effective to open these reports one by one to see the pages that link to each broken URL.
You can get the list of all pages on your website that have a link to a broken URL if you click on "Page has links to broken page" error in the Overview.
By default, this report includes both internal and external outgoing broken links, however, you can easily tune the filters to match your needs. To do that, click on the "Filter" field.
The filters in the example below will only list pages that have links to internal 4xx pages.
You can also manage columns of this table to include/exclude data based on your needs.
You can then export the table from this report into a CSV file.