I have some old orders which are still processing and want to change their shipping method to the new one which I'm using now. Some processing orders uses another shipping method so in this case I should check not only the order status but shipping method ID as well. I try to do this but unfortunatelly no luck.

Based on @LoicTheAztec answer code there, this is my attempt:

function change_shipping($order, $calculate_tax_for, $shipping_methods ) {
    // Here set your shipping method ID replacement
    $old_method_id ='multiparcels_lp_express_courier';
    $new_method_id ='dpd_home_delivery';
    
    // Get the the WC_Order Object from an order ID (optional)
    $order = wc_get_order( $order_id );
    
    // Array for tax calculations
    $calculate_tax_for = array(
        'country'  => $order->get_shipping_country(),
        'state'    => $order->get_shipping_state(), // (optional value)
        'postcode' => $order->get_shipping_postcode(), // (optional value)
        'city'     => $order->get_shipping_city(), // (optional value)
    );
    
    if ($order->data['status'] == 'processing' && $shipping_method->id == $old_method_id ) {
    
    $changed = false; // Initializing
    
    // Loop through order shipping items
    foreach( $order->get_items( 'shipping' ) as $item_id => $item ){
    
        // Retrieve the customer shipping zone
        $shipping_zone = WC_Shipping_Zones::get_zone_by( 'instance_id', $item->get_instance_id() );
    
        // Get an array of available shipping methods for the current shipping zone
        $shipping_methods = $shipping_zone->get_shipping_methods();
    
        // Loop through available shipping methods
        foreach ( $shipping_methods as $instance_id => $shipping_method ) {
    
            // Targeting specific shipping method
            if( $shipping_method->is_enabled() && $shipping_method->id === $new_method_id ) {
    
                // Set an existing shipping method for customer zone
                $item->set_method_title( $shipping_method->get_title() );
                $item->set_method_id( $shipping_method->get_rate_id() ); // set an existing Shipping method rate ID
                $item->set_total( $shipping_method->cost );
    
                $item->calculate_taxes( $calculate_tax_for );
                $item->save();
    
                $changed = true;
                break; // stop the loop
            }
        }
    }
    
    if ( $changed ) {
        // Calculate totals and save
        $order->calculate_totals(); // the save() method is included
    }
    
    }
    
    }
    add_action ('change_shipping', true);