[header] How to change your clothes for gym without being embarrassed [title] Change in a private area. [step] While there are alternate methods to help you change in front of others, you may be most comfortable if you can avoid it altogether. Most locker rooms have private bathroom stalls or some may even have curtained-off shower stalls where you can change. 
[substeps] You may find that if you do this, others will follow suit. You're surely not the only one who would rather have a bit of privacy.