We can run below query in developer console query editor. It will return all the aura component name in DeveloperName column.

SELECT Id, DeveloperName FROM AuraDefinitionBundle

Now we can edit Developer Name and save it. It will reflect all the place wherever the component is used. If you are using the component in controller and helper, It will reflect there also.

It's a basic question. How to rename Lightning component once created?  I couldn't find any menu on Devloper console and any buttons on Setup|Develop|Lightning Components. Is it necessary to delete and create new one with new name?