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You can freely switch between them so long as you have a class/job unlocked and have their required weapon in your inventory.
The coolest part about classes and jobs in Final Fantasy XIV is that your character is not locked to one class/job. There are also some jobs you can unlock later by simply leveling up any job to a certain level. Once you have reached Level 30 in a class, you will gain the opportunity to unlock their associated job and the advanced skills they possess.
Ul'dah: Pugilist, Gladiator, ThaumaturgeĬlasses are beginner versions of a job that teaches you how to use their abilities and combo rotations. You can find the guilds which unlock the other classes in the following cities if you decide to pursue other jobs (quests that unlock gameplay content are marked blue with a plus symbol): You will need to reach Level 10 with any class, unlock the Armoury feature, and speak to Lonwoerd in Limsa Lominsa to unlock the Rogue class. The Rogue class, however, is not selectable when creating a new character. These include Gladiator, Marauder, Arcanist, Archer, Thaumaturge, Pugilist, Lancer, and Conjurer.
When creating a new character, you can assign a starting class for them after picking their race.