If you pre-ordered Sonic x Shadow Generations or purchased the pricey Deluxe Edition, you'll get access to a number of character skins you may not have even known existed.
Sonic X Shadow Generations – Gameplay and Costumes
There are a number of skins available, including the Terios skin for Shadow in the Shadow Generations storyline and two old-school skins for both Modern and Classic Sonic in the Sonic Generations mode. However, it's not really explained well how you can change your character's skins while you're playing.
There are also additional DLC costumes available, such as a costume based on Keanu Reeve's version of Shadow from the film, so knowing how to change things up is essential to getting the most out of your time with the game.
To change your character skin in Sonic x Shadow Generations, you’ll need to be in the game’s main menu before clicking on a game mode. There, you’ll see a prompt for “Additional Content” in the lower right corner. Once there, press the button or key corresponding to that option to open a separate menu.