When Palpatine executed Order 66 in the Clone Wars' final season, Captain Rex responded by referring to him as Darth Sidious, which begs the question of how the clones knew the Chancellor was the Sith Lord. Ever since George Lucas' original Star Wars movie released, fans have been captivated by the Jedi Purge, an incident orchestrated by Emperor Palpatine that wiped out all the Jedi, and many known Force users, from the galaxy. And it wasn't until Star Wars: Episode III - Revenge of the Sith that fans were shown how it all happened.
Towards the end of the final prequel movie, Palpatine successfully turned Anakin Skywalker to the dark side of the Force and subsequently ordered Commander Cody to execute Order 66. Commander Cody then ordered his clone troopers to fire on Obi-Wan Kenobi, who miraculously survived the attack, but other Jedi weren't so lucky. This event played out similarly in Clone Wars season 7, episode 11, "Shattered", in which Captain Rex received a transmission from Palpatine that activated his inhibitor chip, forcing him to turn on his friend and ally, Ahsoka Tano.
One of the many ways Clone Wars improved the Star Wars prequels is by expanding on the clones' stories - particularly the reason they betrayed their Jedi generals. It's not that they hated the Jedi, it's that they were programmed by an inhibitor chip that forced them to follow whatever command they were given by the Chancellor. In this instance, it's plausible the inhibitor chip also contained information pertaining to Palpatine's true identity as Darth Sidious. So when Palpatine enacted Order 66, the Clones would no longer be loyal to the Republic but to him, specifically.
What's interesting is that while fans caught onto Rex referring to Palpatine as Darth Sidious, this isn't the first time something like this has happened. In Revenge of the Sith, Commander Cody responds to Palpatine's command by saying, "It will be done, my Lord." He could've been using my Lord as an honorary title, but given what fans know now from seeing Clone Wars' final season, Commander Cody's line can be interpreted as him knowing Palpatine's real identity. But since this is Star Wars, it's entirely possible there's another reason why Rex referred to Palpatine as Darth Sidious, but an explicit reason hasn't been given (yet).
Regardless if another reason comes to light in the future, all of this highlights just how well orchestrated the Clone Wars were. Palpatine clearly left nothing to chance; he planned not only to have his revenge on the Jedi but also to take control of the galaxy and usher in the first Galactic Empire. And it all happened in one fell swoop that even the Jedi couldn't see it coming, being unable to see past their own hubris.