How To Change Difficulty in Fire Emblem Fates
After completing chapter 6 in the game, you should unlock the world map and your castle. Go to the world map by talking to Felicia or use one of the exits from your castle if you’re not already at the world map and choose ‘Difficulty’.
You should find three options (maybe less depending on which you chose) :
From there, you can change the difficulty of your game, however, you will be unable to change it back after saving your game’s data.
If you wish to change the classic mode to casual or vice-versa, you will be required to restart your game (Update: After starting Conquest, I can confirm you can change difficulty and be brought up to the casual/classic mode to change it after).