Cooking an egg would be a chemical change. To understand why, you need to know the difference between a physical and chemical change. A physical change is a change that can be reversed, like water can turn into ice, but you can turn the ice back into water. A chemical change is a change that can't be reversed, like a match. Once you light it, it burns and once a burnt match always a burnt match. You can't change the burnt match back into the original match it was before the burning. Like the match, you can't turn a cooked egg back into a raw egg.
It would be a chemical change. Once the egg is cooked it can no longer be put back to what it was before it was cooked ( being a raw egg ) making the change chemical.