'Him' is actually the indirect object. 'To change his mind' is an infinitive that functions as a noun and is the direct object of the sentence. http://www.dailygrammar.com/Lesson-220-Noun-Infinitives.htm

"What caused him to change his mind?" "What caused (it)?" - What happened to make him do "it"? What is the reason behind "it"? ("it" refers to him changing his mind.) "him" is the person you talk about. He "changed his mind" - for example, if he had an opinion earlier and something then happened (which is what you are asking because you want to know what exactly that was) and that "caused" him to "change his mind".

xxx cause somebody to do something