The brightest ultra-luminous X-ray source, ESO 243-49 HLX-1, with a 0.2-10 keV X-ray luminosity of up to 10{sup 42} erg s{sup -1}, provides the strongest evidence to date for the existence of intermediate mass black holes (BHs). Although small-scale X-ray spectral variability has already been demonstrated, we have initiated a monitoring campaign with the X-ray Telescope (XRT) onboard the Swift satellite to search for luminosity-related spectral changes and to compare its behavior with the better-studied stellar mass BHs. In this Letter, we report a drop in the XRT count rate by a factor of approx8 which occurred simultaneously with a hardening of the X-ray spectrum. A second observation found that the source had re-brightened by a factor of approx21 which occurred simultaneously with a softening of the X-ray spectrum. This may be the first evidence for a transition between the low/hard and high/soft states.