There are two different PINs associated with tax returns, but you can't change either one.
The five digit self-select PIN that was used for signing your e-filed tax return is being phased out. In some cases you can use the PIN you had last year instead of your AGI.
Click here to retrieve your transcript or AGI.
The six digit identity protection PIN is issued by the IRS. It is given automatically if you report identity theft, or you can request it if you want. You can retrieve your IP PIN form the IRS.
Click here to retrieve your IP PIN.