I believe we don't have any instance of the borg interacting with the founders. Mostly because the changelings primarily inhabit the gamma quadrant, while the borg are primarily in the delta quadrant.
Because we have no known encounters, we now must speculate.
The changelings are one of the most advanced lifeforms that interacts with the federation (yes there are many advanced life forms in startrek, these are active players however). Their abilities make them highly resistant to physical damage, as well as being able to shape-shift almost perfectly.
Another race we encounter Species 8472 have very similar abilities as the changelings in that their bodies are highly resilient, as well as being able to shape-shift again almost perfectly. This is the only know species that we know of that the borg cant assimilate.
So based on the similarities between the changelings and species 8472 i would hazard that the changelings would be extremely difficult if not impossible to assimilate. The fact that the changelings primary form is a liquid, it would seem that they could simply liquefy and shrug off all nanites.
As a side note, Species 8472 are from fluidic space, and the changelings are primarily a fluid, and they both shapeshift hrmmm lol.