Suppose you have two rotations, represented as $R_1$ and $R_2$ in the fixed frame. Then the composition $R_1 R_2$ means (according to the most commonly used convention) - first apply $R_2$, then apply $R_1$.
Now suppose we apply them in the opposite order, expressed by the same matrices, but with respect to the moving frame. We first apply $R_1$, then apply $R_2$.
For $R_1$, the fixed frame and the moving frame are the same, because nothing as happened before the rotation is applied.
For $R_2$, the moving frame is not the fixed frame. If the same rotation is expressed in the fixed frame, then the change of basis formula tells us that the matrix is $R_1 R_2 R_1^{-1}$. If we now compose them in the fixed frame doing $R_1$ first, and then $R_1 R_2 R_1^{-1}$, remembering that we multiply them right to left, we get
$$ (R_1 R_2 R_1^{-1} ) R_1 .$$
And after multiplying out, you get $R_1 R_2$, as desired.
To visualize this, I find it helpful to consider a composition of a yaw and a pitch, and see how my hand moves.
This shows you why it is true for two rotations. For more than two rotations, you can use induction.
Note that this works for any linear motions. It is nothing to do with being a rotation. Indeed, it seems to me that with the proper interpretation, it would work for non-linear motions. It would certainly apply to more general rigid motions which include a translation as well as a rotation.
Added later: let's consider this example.
First notation. The axes are $x$ is forward, $y$ is left, $z$ is up. Pitch is about $y$, roll is about $x$, yaw is about $z$.
With my hand stretched out, I first do a pitch forwards of 30 degrees. Then I yaw to the left 30 degrees with respect to the fixed frame.
Or I first yaw to the left 30 degrees. Then I pitch forwards 30 degrees, but in the current frame.
You can see in the second case that, in the fixed frame, the pitch is along an axis which is 30 degrees to the left from the $y$-axis.