It seems you are using \ContinuedFloat the wrong way. It is supposed to be used in the second of two figure environments, both of which contain \subfloats. See the example in section 2.2.3 The \ContinuedFloat Command of the subfigmanual.
A possible solution using sidewaysfigure would then be
\documentclass{article}
\usepackage{rotating}
\usepackage[lofdepth]{subfig}
\usepackage{kantlipsum} % to create dummy text
\begin{document}
\listoffigures
\kant[1-3]
\begin{sidewaysfigure}
\centering
\subfloat[Change in ABC]{\label{fig:abc}\includegraphics{example-image-a}}
\caption{Change in ABC and DEF\label{fig:abcdef}}
\end{sidewaysfigure}
\begin{sidewaysfigure}
\ContinuedFloat
\centering
\subfloat[Change in DEF]{\label{fig:def}\includegraphics{example-image-b}}
% \caption[]{Change in ABC and DEF} % Not necessary
% optional argument empty to suppress duplicate entry in LoF
\end{sidewaysfigure}
\kant[4-5]
\end{document}
You must have a \caption in the first float/sidewaysfigure, but in the second (and any subsequent figures) it is not required. If you do include a \caption in these, add an empty optional argument, else the main figure is listed multiple times in the LoF.
\quadrather than a paragraph break, LaTeX will definitely try to place the two subfloats side by side. – Mico Apr 25 '12 at 11:25sidewaysfigureenvironments here!? – Apr 26 '12 at 06:47see link
– Aug 13 '14 at 21:08