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In the Harry Potter films, Harry, Ron, Hermione, and the other students wear muggle clothing while not in classes at Hogwarts:
Even "purebloods" like Draco Malfoy wear muggle clothes, albeit more expensive and distinguished ones:
In the books, do students wear this kind of clothing while not in classes at Hogwarts?
No, basically never at Hogwarts. In the scene in The Prisoner of Azkaban that you have a picture of in the question, for instance, they were wearing robes. For example, after it's all happened and they're in the hospital wing and Dumbledore hints that they should use the Time-Turner, we have:
But Hermione was fumbling with the neck of her robes, pulling from beneath them a very long, very fine gold chain.
Harry Potter and the Prisoner of Azkaban - p.288 - Bloomsbury - Chapter 21, Hermione's Secret
When they go to Hogsmeade at weekends they wear robes. For example, this was just after Harry had come back from Hogsmeade, when he had thrown mud at Malfoy, Crabbe and Goyle and Malfoy had seen his head in Hogsmeade when his invisibility cloak slipped off:
Harry followed him downstairs, trying to wipe his hands clean on the inside of his robes without Snape noticing.
Harry Potter and the Prisoner of Azkaban - p.208 - Bloomsbury - Chapter 14, Snape's Grudge
We also see them wearing robes during DA meetings, in the evenings after school (although they're in uniform for DA meetings in the films too):
'Well, my dad is very supporting of any anti-Ministry action!' said Luna Lovegood proudly from just behind Harry; evidently she had been eavesdropping on his conversation while Justin Finch-Fletchley attempted to disentangle himself from the robes that had flown up over his head.
Harry Potter and the Order of the Phoenix - p.350 - Bloomsbury - Chapter 18, Dumbledore's Army
And during the weekends. They go to see Grawp during the final Quidditch match of the season, which is during the last weekend of May. As they make their way through the forest:
It was a great struggle to keep up with Hagrid, what with branches and thickets of thorn through which Hagrid marched as easily as if they were cobwebs, but which snagged Harry and Hermione's robes, frequently entangling them so severely that they had to stop for minutes at a time to free themselves.
Harry Potter and the Order of the Phoenix - p.606 - Bloomsbury - Chapter 30, Grawp
Also they wear robes at Christmas. They took the Polyjuice potion on Christmas day:
His shoulders stretched painfully and a prickling on his forehead told him that hair was creeping down towards his eyebrows; his robes ripped as his chest expanded like a barrel bursting its hoops; his feet were agony in shoes four sizes too small ...
Harry Potter and the Chamber of Secrets - p.162 - Bloomsbury - Chapter 12, The Polyjuice Potion
In The Philosopher's Stone they even wore robes for most of the journey home on the Hogwarts Express:
And suddenly, their wardrobes were empty, their trunks were packed, Neville's toad was found lurking in a corner of the toilets; notes were handed out to all students, warning them not to use magic over the holidays ('I always hope they'll forget to give us these,' said Fred Weasley sadly); Hagrid was there to take them down to the fleet of boats that sailed across the lake; they were boarding the Hogwarts Express; talking and laughing as the countryside became greener and tidier; eating Bertie Bott's Every-Flavour Beans as they sped past Muggle towns; pulling off their wizard robes and putting on jackets and coats; pulling into platform nine and three-quarters at King's Cross Station.
Harry Potter and the Philosopher's Stone - p.222 - Bloomsbury - Chapter 17, The Man with Two Faces
In fact, Harry's so used to wearing robes, we get this little aside at St Mungo's, where they wore Muggle clothes in order to blend in on the journey into London:
(Harry wanted to stamp on Ron's foot, but that sort of thing is much harder to bring off unnoticed when you're wearing jeans rather than robes.)
Harry Potter and the Order of the Phoenix - p.454 - Bloomsbury - Chapter 23, Christmas on the Closed Ward
This is one of my pet hates about the film franchise, as it happens. Ruins the immersion.
They do, however, wear pyjamas to bed.
The first time, in the films, that we see students wearing non-uniform clothes, inside Hogwarts, is in the first movie, Harry Potter and the Philosopher's Stone (2001), though it only seems to be during the Christmas holidays, outside of lessons, during their free time.
According to the wiki, this is apparently true in the books as well, and they give 3 examples:
In the films, students wear normal Muggle clothing on their free time or outside of their lessons. This appears to be true in the books as well. Ron Weasley and his siblings typically receive sweaters from Mrs Weasley as Christmas presents, despite still having six more months of school left. In the sixth book, Draco Malfoy shops for new robes even though the school year is about to begin. Also in the sixth book, Lavender Brown asks Harry about Ron's - her boyfriend at the time - true opinion of her new dress robes.
It's not until the third installment of the film franchise, Harry Potter and the Prisoner of Azkaban (2004), that we see them wear non-uniform clothing almost all the time (outside of lessons, eating at the Hall etc.), as you showed in your photo.
This certainly seems to deviate from the books, where students are required to wear their uniform robes, as other answers have shown.
The director of the movie, Alfonso Cuarón, made this design choice, straying from the books, consciously.
Alfonso Cuarón had the idea to have Harry, Ron, and Hermione wear everyday clothes more often than their Hogwarts uniforms in order to show more of the characters' personalities. He also gave the rest of the Hogwarts students permission to wear their uniforms any way they wanted to in order to bring a greater sense of realism to the wizards' school, hence why some of the students wear the uniforms very neatly while others have the shirts and ties hanging out.
- IMDB trivia (source)
In one of the interviews in the DVD bonus features, Cuarón talks about how the kids are older now, the boogeyman no longer lives in their closet, it lives inside them, so he wanted to bring a very naturalistic feel to the performance and writing of the kids, saying that the roughed up uniforms and non-uniform (muggle) clothing helped bring that level of realism and individualism that he felt would add to the naturalism he wanted to add.
Yes, Yes they do, at least the Weasleys.
Harry felt a slight sense of foreboding. He had rarely seen Mr or Mrs Weasley wearing anything that the Dursleys would call ‘normal’. Their children might don Muggle clothing during the holidays, but Mr and Mrs Weasley usually wore long robes in varying states of shabbiness. Harry wasn’t bothered about what the neighbours would think, but he was anxious about how rude the Dursleys might be to the Weasleys if they turned up looking like their worst idea of wizards. -Goblet of fire
Again the Weasleys but on christmas they wear jeans the the sweater/jumper their mom makes them
‘Hey, look – Harry’s got a Weasley jumper, too!’ Fred and George were wearing blue jumpers, one with a large yellow F on it, the other with a large yellow G.
They frog-marched Percy from the room, his arms pinned to his sides by his jumper.
