Complicated means it has many steps or parts, it is not easy to explain, etc. The opposite of complicated is simple.
Difficult means many people are unable to do it. The opposite of difficult is easy.
I'll give you some examples. It's not complicated to say, "I'm sorry," or "I love you." But for many people it is very difficult to say these things. Similarly, lifting a heavy weight is not complicated, but if you are not strong it is very difficult.
If you buy a table from IKEA, you have to assemble it at home. This can be complicated because there are many small pieces and the process has many steps. Some people will find this difficult and not be able to do it, but it will be easy for others.