By default in Magento there are only options to massively cancel, hold or unhold orders.
If you'd like to bulk change order status, it is possible either via code or with extension.
If you are not familiar with coding and are interested in second option, you can find multiple extensions to bulk process orders. One of them is Store Manager for Magento solution that allows to change orders statuses from any to any -
https://www.mag-manager.com/useful-articles/magento-orders-management/magento-change-order-status-to...
Store Manager is a paid app, however, in case you need this task to be performed once or a few times, you can use 14-day free fully-functional trial from the link in my signature to set selected orders to complete in 2 clicks.
