8relay module asks more than specs
Most of Arduino relay modules have a relay and a supporting circuit. The circuit connects the VCC line to relay coil if signal line is HIGH. Some relays have it conversely, they disconnect if signal is HIGH and hold the coil if signal is LOW.

Your relays need VCC which you can supply for 8 relays from 5 V pin of Arduino. This pin is connected over regulator to power supply of the board so it is limited only by power supply and regulator parameters. The power doesn't go over MCU.

The signal pins of individual relays should be connected to digital pins of Arduino. The signal pins don't draw much current since they only signal a state to the circuit of the relay module.