I am a citizen of Azerbaijan and would like to apply for E-2 visa. Can I file for change of status or do I have to go back and apply through the consulate?

The toughest part of E-2 cases from Azerbaijan is proving the source of income, because almost no one trusts banks or most individuals do not use bank accounts in Azerbaijan.  Most transactions in Azerbaijan are made in cash.  Even if it is a sale of real estate, the initial transfer of funds occurs through a bank account, but then the seller immediately withdraws the funds and stores it in the form of cash.  Income and taxes are very poorly documented.  The good news is that the consulate there is aware of those conditions.  However, the USCIS here is not well aware of it and often denies change of status cases due to a lack of evidence proving source of funds invested.  Therefore, I never recommend my clients from Azerbaijan to file for change of status, and instead, advise them to go through the US consulate in Baku. The consulate in Baku likes to receive copies of the supporting documents two weeks prior to the visa interview.  Best of luck!