In order to change the locale of Magento 2 Admin Panel, you need to click on your user icon in the upper right corner and go to Account Settings.

Magento 2 Admin User Manu

Then, find in the Account Information section Interface Locale select box, where choose the language you need.

Magento 2 Admin User Settings

Once you have finished don't forget to enter your current password in Your Password field and press the Save Account button.

Magento 2 Save Admin User Account

 

Note that this change will affect only a selected customer, to change admin interface locale for another one, please navigate to System > Permissions > All Users to manage its settings.

Trouble shootings

1. Make sure you have the language pack for the corresponding language installed in case it wasn't applied. You can easily find a free language pack it Google (use query "Magento 2 XXX language pack").

2. If your Magento is in a production mode and you had your admin panel broke down, use CLI command bin/Magento setup:static-content:deploy xx_XX (xx_XX is your language code). This CLI command will recompile static content.