From BR Bullpen

The clubhouse is a room or set of rooms in a ballpark where players can change and shower before and after a game, and various equipment is stored. In early ballparks, the clubhouse was often a separate structure, a small house located near the park, often behind the outfield fence or in play in the far reaches of the outfield, and players needed to walk outside to reach the field. In more modern parks, the practice has been to build the clubhouse under the grandstands, connected to the dugout by a tunnel. There are in fact usually two clubhouses, one for the home team and one for the visiting team. The umpires also have a clubhouse of their own in most ballparks. Because it is rarely a house nowadays, the facility is now often called the "locker room", a more appropriate name.

A player who has been ejected from a game may not stay in the dugout, but can stay in the clubhouse. It is an open secret that managers who have been ejected from a game can continue to dictate strategy from the clubhouse by running errands back and forth to the acting manager.