Did he ever try to change his name?
He was named after his father and mother. His French father's name was 'Marc Isambard Brunel' and his English mother's name was 'Sophia Kingdom'.
Marc was a famous engineer in his own right before his son was born, so Brunel was not the first prominent person in his field to bear the name and it was common practice in England in the Victorian age to give children their mother's maiden name as a middle name, especially if the mother was from a higher social class than the father.
There's no indication that Brunel objected to his names, they were just family names that he inherited as was common then and still is today. The etymology of 'Isambard' is very fitting for him, it comes from the German name 'Eisenbarth' meaning 'glittering iron' or 'bright/shining iron' although whether he himself was aware of that is a moot point. Variants of the name were common in Anglo-Saxon England but it became very rare after the Norman conquest and only enjoyed a brief reappearance in the 19th c. due to Brunel's fame.
I also think you could do with reading a few Victorian primary sources to realise that 'Isambard' is not really an outlandish name. Not in a world where boys were routinely called things like 'Algernon', 'Fitzwilliam' or 'Horatio'