On the main table, there is a column called Calendar. Each activity has a calendar associated with it that can be seen here.
The Project default calendar will be assigned to each activity automatically.
You can change that calendar to any other calendar in one of two ways:
Click on the down arrow on the calendar cell
Type in the cell, and matching results will show up here
PRO TIP:
You can select one cell and copy the calendar by CTRL+C (Cmd+C on Mac). Then you can select a number of other calendar cells and paste that calendar there with CTRL+V (Cmd+V on Mac)
If no matching calendar is found, you can create a new calendar right from here without leaving the project - click on "Create new calendar" at the bottom of the calendar dropdown