My 10 year old daughter has been sneaking clothes to school in her book bag and changing at school. Any advice on how to stop it?

Ha! I thought that only happened to us, when my daughter was about 10 years old. Here's how we tackled the situation:
We confronted her (alone) to ask her why she was doing it, she denied it and we let her know we would go to her school and sit in her classes if we had to - school was that important to us! The school counselor ended up calling a couple days later and talked to my bride about it. I let my daughter know I would go to her school the next day - she didn't believe that I would follow through. I went to her school wearing the following: high top basketball shoes, mismatched striped tube socks, yellow banana suit shorts, a very tight brown t-shirt, aviator sunglasses and put a yellow & green beanie baby frog on my shoulder! I went to the guidance counselors office and asked that they call her to the office - when she walked in, she immediately began crying and asking the guidance counselor not to let me go to her classes, completely embarrassed! We went to her locker, cleared out the makeup and clothes.
We followed up with a conversation where she really opened up about why she wanted to do and wear xyz.....it ended up being a situation that opened up our communication even more and she was able to share her thoughts and reasoning with us.....I did not ever have to go back to her school looking like a jackwagon (thankfully!)
Whatever approach you take, good luck to you MSgt (Join to see) and I look forward to hearing how your approach works!

One idea, what has worked for my wife and I, when we had a child's behavior where we didn't understand the foundational reason, the "why?": We have traditional dinners, where everyone sits down at the table at the same time to eat. We don't control the conversation...no topic is off limits unless it grosses somebody out (no blood, feces, or vomit stories). Then, after everyone's mostly done and everyone has had a chance to talk a bit, we let the child know we KNOW about the behavior, and then ask why. Find out what peer pressure is driving the behavior...what clothes she's embarrassed of...who she's trying to be "cool enough" to impress. Be supportive of her emotions...imagine what it was like at 10. Offer a compromise. Offer a shopping trip. But no secrets from parents. No one is looking after your own child's health and happiness more than you, and your child needs to know that.

Decades ago, but our daughter did the same shenanigans. We gave her less autonomy and more supervision in the AM. We additionally would pick her up unannounced from school (8th grade) as a check-up. We acknowledge that she was going to do what she was going to do, but also warned if we caught her, there would be additional consequences. You know what her buttons are... Clothing was minor to what shenanigans came later -- different story for another time.

What kind of clothing is it? If it's an extra pair for Gym, weather fluctuations, etc. or is it revealing? If it's revealing confront her about it, ask why she is changing clothes at school? Ask her why does she feel she must change clothes? How many times was she "caught" before it was brought to your attention?
I think there maybe something on the lines of Peer Pressure involved or maybe a boy? Not trying to give you a heart attack MSgt but you got to know what possibilities there are for this type of behavior.

What sort of clothing is she sneaking to school? Is she violating school dress codes?