On the backend of your site, go to Settings –> The Events Calendar.

Find the section for “Events URL Slug.” It will have a field (likely populated with “events”), and a link that shows your current events URL. You’ll notice that URL is just your site’s URL, followed by the word you see in the slug field above.

Clicking that link will take you to your frontend events listing. If you change the word “events” to something else (say, “calendar”), when you save your changes the link below will be updated to reflect this as well. At that time when you click the link, it’ll take you to /calendar on the frontend — which will be your new calendar URL.