Open the Shipping Methods page in your store's Admin area (Store Setup> Shipping).

In the list of shipping methods, locate the column Tax class.

This column shows the tax classes assigned to your store's shipping methods. If you have not set a particular tax class to a shipping method, it will have the default tax class.

To change a tax class for a shipping method, click on the name of the tax class currently assigned to it. You will see a drop-down box with a list of available tax classes. Select the tax class you require.

Save the changes.