Whenever you create a label, the shipping label uses origin information and return information you set in your 'Ship From Location.' In many cases, only the origin zip code will show up on the label, but the return address will display prominently. To change any of this information, you simply need to modify that Ship From Location.
Head to your Account Settings (the wrench icon in the upper right).
Next, select Shipping and then Ship From Locations from the sidebar on the left.
Select to edit a specific Ship From Location, or Add a Ship From Location to create a new one. If you create a new one, you'll need to select it in order to use it for the orders you're shipping. That, or update your automation rules to select the new Ship From Location.
When you're done either creating a warehouse or editing one, remember to Save Changes.