how to change order status of an order placed by the customer in admin side in magento 2 ?
Also in case if it is COD.
If you want to change order status pending to processing then create the invoice for same.
if you want to complete order then create invoice and shipment.
Hope it will help you.
If it will work then give kudos or mark as solution.
By default all online payment method like, Cash on delivery, Bank transfer, Check money order all payment method with place order they will set initial state to pending after order complete.
So for you case COD you need to generate an invoice from admin to change status of your order.
You can also change the status of Order by Doing some programmatically stuff after place an order.