In a physical change no new substance is made. The particles are the same before and after, so if the change is reversed the material recovers its original properties. Melting, freezing, evaporating, condensing, sublimating and dissolving are all physical changes. Ice that melts and is frozen again is still water with the same properties.
In a chemical change a new substance is made with different properties, and the change is usually not easy to reverse. Burning wood is a chemical change: the wood becomes ash and gases, and you cannot get the wood back by cooling them.
All changes of state are physical changes, so the substance is the same material in a different state.