Unfortunately you cannot manually change the armor of your companions.
They are, however, upgraded over time. So each Act that goes by, your companions get stronger equipment to scale with their level.
You can buy upgrades for their armor, though. These upgrade the stats of the companion or give them bonuses. There are 5 per companion, and can be found throughout the game in a variety of ways. Here is a link to the list, as well as how to acquire them: http://dragonage.wikia.com/wiki/Companion_armor