For Pilates it is desirable to wear comfortable close fitting clothing, ideally lycra is the best material to wear, such as bike pants with a fitting top, or leotards over lycra tights. If you don’t own these, consider your one-piece swimming costume over bike pants! Also please wear thin socks to class (ankle socks are the best)
There is a reason for this type of clothing - the only way to improve your postural muscles is to give the instructor an opportunity to see what your muscles are doing. Wearing unsuitable (baggy shorts and thick materials) make it difficult for the instructor to see your movements, and could mean you could recruit your muscles incorrectly, resulting in no benefit.
You only need to bring a towel to put on the pillow and mat. This is for your own hygiene reasons.
It is recommended you bring a water bottle to prevent dehydration.
The instructor will provide mats, pillows, hand and leg weights, stretch bands, poles, etc.