Depending on who you believe, we may or may not have the ability to change our locus of control.
Your Locus of Control can either be internal (you believe you have control over your life) or external (you believe your situation is pretty much pre-destined). Depending on who you believe, you may or may not be able to affect whether your locus is internal or external.
According to The Organized Mind - you’re pretty much born with either an internal or external locus and there’s not much to do about it.
According to Smarter, Faster, Better - we do have the ability to influence the locus of control in others. The Marines have changed their focus to getting people to become better decision makers. Drill instructors don’t praise behaviors that people naturally excel at, instead they focus on those things that come through effort. Moreover the guide for parents is to praise your children’s efforts as opposed to how good they are intrinsically at something. (e.g. “you should be happy with how hard you tried” as opposed to “you should be happy you’re so smart”)