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I heard from a story once that when Cronus attacked the gods, most of them were so scared of him that they fled to Egypt and adopted animal characteristics (except for Zeus and Hermes). That's why you see the Egyptian gods with animal heads. What I want to know is...
Is this true?
How did the Greek gods change after becoming Egyptian gods?
But if this story is not true, then where did the gods go, and what did they do in their hiding?
You have a couple of way to see your question.
Egypt is a civilization running from roughly 3000 BC up to 30 BC. Most of the mythology is dating back from the Old Kingdom (Especially the pyramid texts), and most of the literature was developed during the middle kingdom (What is known as classic Egyptian). That means that Egyptian mythology is in place in 1600 BC.
Greece is much more recent, as oldest tragedies are coming back from 800 BC (Homer and Hesiod). So there are no Greeks before 1000 BC.
That taken into account. the influence of the Greek mythology over the Egyptian mythology is inextistant.
In appearance.
In 500 BC the first great Empire, the Aechemenid (The Persian from the movie 300) invaded Egypt. Egypt more or then managed to keep a kind of independence up to 300 when Alexander the Great conquered the Aechemenid empire and thus gained dominion over Egypt (he founded Alexandria). At his death, one of his general, Ptolemy, became Pharaoh. And thus the last dynasty of Egypt is Greek (known as either Lagid of Ptolemy; yes Cleopatra VII is both a Greek and a Ptolemy).
A point on Ptolemies: They did not speak Egyptian, at the exception of Ptolemy III and Cleopatra VII. But they tried to keep Egyptians with their religion, while incorporating Greek myth inside the Egyptian religion; A god like Serapis is a clear example, he is a kind of concentration of Osiris and Hades (his name in Egyptian is wsjr-hp, that is pronounced ousir-hep, knowing that 'o' in Greek is an article [like a or the], so the Greek reading would be "o serap", and so "o serapis" at the nominative case [the exact reading of wsjr and hp are 'unknwon', but Serapis give us clear clues]).
Let's summarize :
The episode you are referring to is the fight between Typhon and Zeus. In the first instance we have (Hesiod) gods are not cowarding to Egypt, but later traditions have that:
Pseudo-Appolorus (dating 100 AD): When the gods saw him rushing toward the sky, they headed for Egypt to escape him, and as he pursued them they changed themselves into animal shapes.
Pseudo-hyginius (100 AC at best): Egyptian priests and some poets say that once when many gods had assembled in Egypt, suddenly Typhon, an exceedingly fierce monster and deadly enemy of the gods, came to that place. Terrified by him, they changed their shapes into other forms: Mercurius [Hermes] became an ibis [Toth], Apollo [Apollon], the bird that is called Thracian, Diana [Artemis], a cat [Bastet]. For this reason they say the Egyptians do not permit these creatures to be injured, because they are called representations of gods. At this same time, they say, Pan cast himself into the river, making the lower part of his body a fish [Onuris], and the rest a goat [Osiris], and thus escaped from Typhon
Antoninus Liberalis (100 AD, this is where you have all the details): Typhon felt an urge to usurp the rule of Zeus and not one of the gods could withstand him as he attacked. In panic they fled to Egypt, all except Athena and Zeus, who alone were left. Typhon hunted after them, on their track. When they fled they had changed themselves in anticipation into animal forms.
Apollon became a hawk [Horus], Hermes an ibis [Thoth], Ares became a fish, the lepidotus [Onuris], Artemis a cat [Bastet], Dionysos took the shape of a goat [Osiris], Herakles a fawn, Hephaistos an ox [Ptah], and Leto a shrew mouse [Wadjet]. The rest of the gods each took on what transformations they could.
This is important because as you can see this is from a late tradition, in fact post-Ptolemaic (which ended in 30 BC). In fact, those are ROMAN traditions, considering they are written in Greek but during Roman time (as for example Plutarque wrote in Greek bu is definitely a Roman, in his parallel lives Roman always are outperforming their Greek equivalents).
And that answer your question:
Is this true?
This is always a hard question to answer in mythology. There's usually not a consistent canon—instead, there are dozens upon dozens of stories, some of which contradict each other in fundamental ways.
For example, look at the myth of Persephone. There's the famous story where Hades abducts her to the Underworld and she's trapped there because she ate a pomegranate. But there are also sources that say she went to the Underworld of her own free will, and made up the pomegranate story to appease her mother. Still others say she was the ruler of the underworld in her own right (influenced, distantly, by the Sumerian goddess Ereshkigal). And still others say that she was a wine-goddess married to Dionysus (based on the native Roman goddess Libera).
So, while we can't say if it's true, we can say that it's attested.
In the Histories II.42, Herodotus equates various Egyptian and Greek deities, a practice called interpretatio Graeca. For example, he says that "Osiris" is the Egyptian name for Dionysus, and "Amoun" the Egyptian name for Zeus. He also investigates various equivalents for Heracles, including the Phoenician deity Melqart—and concludes that Heracles was actually an Egyptian figure whose fame extended to Greece, rather than the other way around.
Later, Nicander of Colophon expanded on this equivalence, in his Heteroeumena. The Heteroeumena doesn't survive, but Antoninus Liberalis summarizes parts of it in his Metamorphoses, and part 28 attempts to explain why the Egyptians portrayed their deities with animal features. According to him, during Typhon's rebellion, the Olympians turned into animals and hid in Egypt until they could regroup. (Ovid mentions the same story in his Metamorphoses, also drawing from Nicander, which is good evidence that the Heteroeumena did cover this.)
But historically, all these equivalences are later inventions. Some myths and deities were certainly borrowed back and forth during times of contact, which is why the cult of Isis was so popular in the Roman Empire. But fundamentally, Zeus and his ilk seem to derive from Indo-European mythology, and Amun and his ilk from different sources. These equivalences were developed later, in order to fit different mythologies into the same worldview.
P.S.
But if this story is not true, then where did the gods go, and what did they do in their hiding?
Perhaps an unsatisfying answer, but most sources don't really specify. Typhon rose up, Zeus struck him down and took over, there's not much detail in the middle there. The important part seems to have been Zeus taking power, and what he was doing before that isn't wasn't considered as relevant.
