IPhone – How does the iPhone change time zones automatically

The iPhone (like pretty much all cell phones that support this feature) gets its timezone information from the carrier. Unfortunately many carriers send out the wrong timezone information and there's very little you can do about it other than switch off the Set Automatically option in the Date & Time settings.

Check the following "Settings". Make sure under "General > Date & Time", that your iPhone is showing the correct "Time Zone" You can either have the iPhone determine this automatically (by turning on the "Set Automatically" switch) or you can set it for a specific location. Do note that in order for this to set itself automatically you need to have location services enables as well.

The next thing I would check is "Settings > Mail, Contacts, Calendar" and make sure in the "Calendar" section that you've enabled "Time Zone Support".

All of this is covered in this Appple knowledge base article: http://support.apple.com/kb/ht4576

Hope this helps. Good luck!