Balanced chemical reaction: 2Mg(s) + O₂(g) → 2MgO(s).
This is chemical change (chemical reaction), because new substance (magnesium oxide MgO) is formed, the atoms are rearranged and the reaction is followed by an energy change (exothermic reaction because energy is released).
Chemical changes (chemical synthesis) is when a substance combines with another (in this example magnesium and oxygen) to form a new substance.