Python source releases do not include SQLite: the build process links Python with a system-supplied SQLite library or some local copy supplied by the builder, depending on the platform and the build setters.  The pre-built versions of Python for Windows and macOS downloadable from python.org do ship with their own versions of SQLite; currently both use version 3.21.0 with Python 3.6.4.  So, depending on what platform you are on and where you obtained your Python from, you may be able to upgrade SQLite through some system package update and, if the Python in-use dynamically links to it, you would be all set.  If you build Python yourself from source, you can also build your own version of SQLite and use it (see Python's top-level setup.py for exact details on where the build looks for SQLite files).