There are many proximate causes for changes to the color of the sky, but they all involve the way light is diffracted through the air. Light from the sun can be bent as it moves through the Earth's atmosphere, and the wavelengths of light that are able to pass most easily through the air give the sky its color.
The sky changes color because of the scattering from the sky. So basically, molecules and small particles in the atmosphere change the direction the light rays are headed, and causes the sky to scatter, resulting in the color change of the sky.
