In case you skip it...

This episode implies that members of Odo’s species are called “Changelings” and are native to the Gamma Quadrant. Odo is very interested to learn more about them but no further information is forthcoming - though he does get a souvenir.

It’s a shape-shifting key made of similar genetic material to Odo. It’s from the Gamma Quadrant, seemingly proving that Odo’s race truly does originate there.