Documentation suggest that users might use Lightning Community Builder to use Lightning Components to modify ChangePassword page.
The Title of Documentation page is "Use Custom Change Password and Forgot Password Pages in Your Community"
Also steps are
To use a custom Community Builder Forgot Password page, first publish your login page in Community Builder.
- From Setup, enter All Communities in the Quick Find box, then click All Communities. Click Workspacesnext to the name of your community.
- Select Administration, then select Login & Registration.
- In the password section, for Page Type, select Community Builder or Visualforce.
- Enter the name of the page or leave the field blank to search for all available pages.
- Click , then click the name of the page in the search results to select it.
- Click Save.
However, in fact despite it is declared in the documentation that this is possible to use Lightning Community Builder for all login pages (Login, ChangePassword, ForgotPassword), it is actually available only for Login and ForgotPassword but not for ChangePassword.
So even if you create a Lightning Community Builder page called ChangePassword it won't appear as an option for ChangePassword override:
Is this drawback going to be covered in the next release like Spring 2018?
There is a related question to this on SSE