Why does the pole star change over millennia?

The Earth's axis wobbles like a spinning top, tracing a circle on the sky about every 26,000 years - precession, caused by the Sun and Moon pulling on the planet's equatorial bulge. So the point the axis happens to be aimed at moves, and whichever star is nearest that point is the pole star of the era.

Polaris is a recent arrival and a good one. Around 3000 BC the pole star was Thuban in Draco, which is what the Egyptian pyramid shafts appear to be aligned on; in about 12,000 years it will be Vega, which is far brighter than Polaris and was the pole star some 14,000 years ago. For long stretches there is no useful pole star at all, which mattered enormously to navigators.

Precession also moves the equinoxes slowly against the constellations, which is why the astrological signs no longer line up with where the Sun actually is - the zodiac was fixed roughly two thousand years ago and the sky has slid about one sign since. It is also why astronomers specify a date with any coordinate: a position given for 1950 is not the same as one given for 2000.