How does one change the Bit Depth?
Audacity always works internally at 32-floating, but you can make the Export be anything you want by File > Export > Other Uncompressed Files > Options.
If you really meant how to change the MP3 Export Quality, that’s contained in the Options panel for MP3 Export. You Export to MP3 by installing the “Lame” software.
The bit depth, or sample format is also available from the track drop-down menu (16/24 bit integer or 32 bit float).