It is my understanding that the WWII Lend Lease Alco diesel engines for the Soviet Union were built to Russian Broad Guage. The Soviets were still manufacturing Alco RS copies of these engines well into the 80's before the collapse, and still considered them among the best diesel engines they had..... ah "innovation" under Communist rule?

While I have heard of "adjustable" freight trucks, or transfers where trucks were changed out, between cars, due to a change in guage, I have not heard of many engines that was designed to easily or normally change guage in routine operations? This is primarily for the reason Jason rightly cited.

If there has been a case, it would likely have been between relatively close sizes, because of axle mounted traction motors. It would have been nearly impossible with side-rods on steam, although I believe some shays have swapped out different guage trucks over there lives, not usually on the "fly", however.

If I recall correctly, the East Broad top changed trucks? And, it is my understanding that adjustable guage frieght and passenger trucks may have been used between Soviet broad guage and European standard guage. I believe this also happened between Spain and France. Spain has gradually gone to Standard guage, since Franco died, for all of the new high speed projects.

I don't know what they did in Australia? And, I don't think they did this at all between the meter and broad guage in India.

I have never seen any photo documentation of how they would do this. But, it would be much easier to do with cars, sliding the wheel sets in or out, than with engines. I know of at least one narrow guage diesel that was regauged to standard, but this was because of bigger clearance, and this involved replacing the wheel sets entirely.