We know of multiple celestials (Malkizid, Thah Rahalar) that served evil deities. After their fall, do they necessarily become fiends or devils?
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There are some cases of celestials turning into fiends upon becoming evil, such as the archdevil Zariel:
Zariel was once an angel, but her impetuous nature and love of battle led to her fall. In her previous life, she was charged with observing the battles on Avernus and tracking their progress. From this exposure, she grew obsessed with the Blood War, and a thirst for battle grew within her that she couldn’t ignore. In time, she became frustrated that she and the other angels were forced to remain spectators while the demons and devils battled....
After her repeated requests to join the fray were denied, her frustration overtook her, and she launched herself into the Blood War
... it is possible that these sorts of conversions must involve the celestial somehow becoming a denizen of the Abyss, the Nine Hells, or some other fiendish landscape1.
1 although other factors, like the element of choice, may be involved as well
Another described case is the creation of a Nightmare which specifies:
Nightmares don’t appear naturally in the multiverse. They must be created from pegasi. The ritual that creates a nightmare requires the torturous removal of a pegasus’s wings, driving that noble creature to evil as it is transformed by dark magic.
In this specific case, it seems that some dark magic is involved in the transformation, and the turning to evil is simply another byproduct of that transformation.
The Monster Manual describes one case of evil celestials in the form of the Empyrean2:
A few empyreans have turned to evil after venturing to the Lower Planes and becoming corrupted, or as the result of being cursed by evil gods. An evil empyrean can’t survive long on the Upper Planes and usually retreats to the Material Plane, where it can rule over a kingdom of mortals as an indomitable tyrant.
I also know of at least one specific instance of an evil celestial who did not become a fiend, found in an official 5e adventure module:
Fazrian, the Planetar, in Waterdeep: Dungeon of the Mad Mage
This planetar was corrupted by a pervasive effect in the area he is found in the module, and is lawful evil. This, on its own, has not changed the angel into a fiend.
2 credit to Korvin Starmast in the comments
There is an example of such a case in a published adventure (spoilers):
In Curse of Strahd, The Abbot is a Deva that was corrupted by the Dark Powers (with Strahd helping) "He sought to restore the abbey after it fell to corruption, but was himself corrupted.". He is still considered a Celestial, albeit an evil one: "Use the deva stat block in the Monster Manual, but change the Abbot’s alignment to lawful evil."
There are particular examples of evil celestials in the other answers. I will try to give an answer from a more general perspective. Monster Manual (page 15) describes fallen angels in two paragraphs (one of which also makes a mention of Zariel):
Fallen angels retain their power but lose their connection to the deities from which they were made.
Evil celestials can even be patrons to celestial warlocks, according to an unofficial tweet by Mike Mearls (Nov 22, 2017).
It is also worth noting that there is a good logic in the D&D lore for not making all evil celestials into fiends. The Outer Planes are mainly about belief, and their natives (celestials, fiends, modrons, or slaadi alike) can be considered as the embodiment of their respective philosophies. When a celestial falls, that does not happen by a complete immediate reversal of its philosophy, but through a gradual process. Quite often it will not be obvious to the celestial that it is deviating away from the path of good, it might for a long time keep on believing that it is doing the right thing, that it is more just or more reasonable to cross the line for some arbitrary definition of greater good. That "fake" belief will keep the celestial in its celestial form. Corruption that is taking root and then slowly growing in the celestial's mind will be reflected in its form.