Is it normal to be afraid to change in my room?

Same here. I only change in the bathroom. It's creeps me out to change in my room. I've got darkish paper shades and dark curtains, but it still scares me. I feel like I'm safer in the loo. I only partially change in my room at night when the sky is pitch black.

hm. i think you are overdoing it.

like, is there any reason or an incident in the past that lead to this?

i admit i also find it strange when people are so ashamed/protective of their nude body. Thats the way we are born and nature intended. Your parents, possibly siblings and/or grandparents saw you nude. Maybe uncles or aunts, too.
Not trying to convert you or anything, i know nude beaches or having sex on an open window sill may not be for everyone.

But in my experience, people that get too "conscious" over their own nude body also tend to have difficulties opening up sexually when they have a partner...

As said, just a tendency, but you should really look into yourself and find why you are so afraid that even the most minimal risk is too much to take.

Heck, if i was on the second floor in the middle of nowhere and some guy took it upon himself to bring a ladder and wait until i take a shower so he can spy on me, i'd probably be impressed by his determination and put on a full show for him. *shrug* As said, nowhere near suggesting anything of that sort, but you realize yourself how small the likelyhood of that is...so you owe it to yourself to investigate the background of your fear.

I'm like that at night or when I'm alone.Usually worse when I'm stressed out but I'm just a "naturally" anxious person. Sometimes if you think about it long enough you can figure out why you're acting the way you are. There are plenty of reasons.