  We present X-ray, UV, optical, and radio observations of the nearby
($\approx78$ Mpc) tidal disruption event (TDE) AT2021ehb/ZTF21aanxhjv during
its first 430 days of evolution. AT2021ehb occurs in the nucleus of a galaxy
hosting a $\approx 10^{7}\,M_\odot$ black hole ($M_{\rm BH}$ inferred from host
galaxy scaling relations). High-cadence Swift and NICER monitoring reveals a
delayed X-ray brightening. The spectrum first undergoes a gradual ${\rm soft
}\rightarrow{\rm hard}$ transition and then suddenly turns soft again within 3
days at $\delta t\approx 272$ days during which the X-ray flux drops by a
factor of ten. In the joint NICER+NuSTAR observation ($\delta t =264$ days,
harder state), we observe a prominent non-thermal component up to 30 keV and an
extremely broad emission line in the iron K band. The bolometric luminosity of
AT2021ehb reaches a maximum of $6.0^{+10.4}_{-3.8}\% L_{\rm Edd}$ when the
X-ray spectrum is the hardest. During the dramatic X-ray evolution, no radio
emission is detected, the UV/optical luminosity stays relatively constant, and
the optical spectra are featureless. We propose the following interpretations:
(i) the ${\rm soft }\rightarrow{\rm hard}$ transition may be caused by the
gradual formation of a magnetically dominated corona; (ii) hard X-ray photons
escape from the system along solid angles with low scattering optical depth
($\sim\,$a few) whereas the UV/optical emission is likely generated by
reprocessing materials with much larger column density -- the system is highly
aspherical; (iii) the abrupt X-ray flux drop may be triggered by the
thermal-viscous instability in the inner accretion flow leading to a much
thinner disk.
