Is roasting marshmallows a chemical or physical change?

It depends on how long you roast it! If you simply allow it to warm up, it is still a marshmallow after roasting, so it is a physical change.

If you like it crispy and burnt, it is a chemical change because it starts off white and then it eventually melts and turns brown. This browning is oxidation, a chemical process where some of the marshmallow's sugar is burnt and carbon dioxide is released into the air.