You can freely change between the three easiest difficulty levels as you wish. Just open the main menu (Esc on PC, Options on PS4, or Menu on Xbox One) and click on "Setting". Choose "Gameplay" and find the option for changing difficulty there. Now just save the changes and return to the game.
You can change the difficulty as many times as you want to, and can freely change between "Story", "Normal" and "Hard" as you want. So if you face a difficult enemy, just lower the difficulty for that particular fight, then turn it back up after you are finished if you find the rest of the game to be balanced.
You cannot change the Supernova difficultyThe most difficulty difficulty level in The Outer World is called Supernova, and includes extra gameplay elements like the fact that companions can permanently die, or having extra survival elements that you need to deal with. In addition to this, the enemies are even more difficult than in "Hard" difficulty.
A unique thing about the Supernova difficulty is that you cannot change it at any point, so all games that are started on this difficulty must also be finished on it. If you find it too difficult, all you can do is to start a new game.