MWE demonstrating a problem using `apply()` to convert multiple DataFrame columns to categorical.

pandas_categorical_demo.py

import pandas as pd
import sys

pdf = pd.DataFrame(dict(name=       ('Earl', 'Eve', 'Alan', 'Randall', 'Danielle'),
                        age=        (    29,    17,     73,        31,         62),
                        gender=     (   'M',   'F',    'M',       'M',        'F'),
                        nationality=(  'US',  'UK',  'CAN',     'CAN',       'US'),
                        height=     ( 182.9, 167.6,  175.3,     170.2,      172.8)),
            columns=('name', 'age', 'gender', 'nationality', 'height'))
pdf = pdf.set_index('name')
print(pdf)

cat_list = {'gender', 'nationality'}
set_cat_list = lambda x: x.astype('category') if x.name in cat_list else x
dfa = pdf.apply(set_cat_list)

print('Applied to subset: dtype={}'.format(dfa['gender'].dtype))

in_cl = lambda x: x.name in cat_list
set_cat_list_alert = lambda x: (set_cat_list(x),
                                sys.stdout.write('{}: {}\n'.format(x.name,
                                                                   in_cl(x))))[0]
dfa = pdf.apply(set_cat_list_alert)
print('Applied to subset: dtype={}'.format(dfa['gender'].dtype))


set_cat = lambda x: x.astype('category')
dfb = pdf.apply(set_cat)

print('Applied to whole frame: dtype={}'.format(dfb['gender'].dtype))

dfc = pdf.copy()
for cat in cat_list:
    dfc[cat] = pdf[cat].astype('category')

print('For loop: dtype={}'.format(dfc['gender'].dtype))