Changes can occur in either location: above or below the fusion. In fact, sometimes degeneration takes place in both places. And it's been reported that disease can occur beyond the immediately adjacent vertebra. These changes aren't usually as severe as those at the adjacent level.
It's not entirely clear whether the changes that occur are really the result of the fusion or just part of the normal aging process. Disc degeneration is a natural part of the decline in spinal health that occurs in all older adults.
Disc thinning and decreased disc height along with bone spur formation around the joints are common changes observed even without a spinal fusion. It's possible that these changes occur at a much faster rate after spinal fusion. There's some evidence that the segment above is more likely to bear the brunt of changes in load and motion. But the effects are evident in both directions.