Not sure “Pictures of Matchstick Men” counts as grunge.
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No, but that proves the point of just how much the Quo changed over a pretty short period!
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Anathema.
Death metal until they get to “We’re Here Because We’re Here” and then just quite incredible and at times beautiful prog rock. Play an early album followed by “Weather Systems”. Now that is a crazy juxtaposition.
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Allegedly the Quo’s hippy phase, particularly Pictures of Matchstick Men, was the inspiration for Spinal Tap’s ‘Flower People’. Definitely not grunge!
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Pink Floyd
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Anathema
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OK, sorry I was thinking of their relatively short-lived hard-rock phase – I blame early-morning caffeine-absent thinking 
On a semi-related point, I found it interesting how some artistes included a more mainstream/poppy (cum radio) track on albums, so as to get airplay (Top60?), when the rest of the album was light years different. The crew at Our price, Sloane Square would helpfully point this out to unsuspecting punters.
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Voivod have been through various style changes over their 40yr career. Still going strong and still one of the best bands ever imho
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And still only wrote songs with the same bars repeated all their career!!!
Ah yes, but their skill was that you didn’t always notice!
Ohhhhhh…i think we did 
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If we are including solo artists in this as well (see Dylan, Tim Buckley above) then one of the most obvious ones was David Bowie - his entire modus operandi was to constantly change direction.
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At the risk of inviting ridicule, Kenny Rogers.
Psychodelic rock into C&W.
And while I simply can’t stand C&W, I find it hard not to like Kenny Rogers.
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I’m surprised nobody has mentioned The Kinks yet?
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I struggle with this as a lot of bands either evolved over time, gradually, or peaked and waned, whereas changing direction suggests a marked change from one style to another, and fairly abrupt. E.g the Beatles evolved, Pink Floyd were experimental and varied from the start so I feel no direction change with either.
Maybe Moody Blues from the time of Go Now to the release of Days of future passed?
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Fink
Trip hop to Indie rock/Folk
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Talk Talk for sure….
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How about Coldplay…?!
Arguably, their first album Parachutes was slightly Indie and even Mercury nominated….Compared to their later Dinner Party popular offerings – which largely make me want to put my fingers down my throat, except the very odd track……
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If we’re talking bands changing after someone left I will suggest Joy Division to New Order.
Re Solo artists then Tom Waits springs to mind from lounge lizard to tub thumper (love him!) as a major change of direction.
To a similar extent Bjork and Joni Mitchell.
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Slight departure from the thread title, but an artist, as opposed to band, who changed direction continually (to the point he must’ve been twisted like a corkscrew!): Jeff Beck
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