If I turned this sentence into "Jeg har ændret mig" would it be "I have changed" or "I have changed myself"?
At ændre sig is to change, personally. So "Jeg har ændret mig" would be "I have changed." I don't really know, though, what's the difference between both your suggestions.
Changing clothes is at klæde sig om, literally "to dress oneself around".
I would see this sentence as an observation of him not being the way he used to be, the way I knew him. If you were to reflect on the fact that he has, physically, changed an aspect of himself (hair color, nose job etc.) then you could say: "Han har ændret sig selv", but I don't think that would be used in normal day talk. One would probably refer to what he changed instead: "Han har fået ny briller"