"Involved" has a different meaning from "complicated" and "complex".
"Involved" is the past tense of "involve" and it's a verb that means you were part of something or you were included in something. For example a sentence with "involved":
"I was involved in a lot of sports last year."
or
"I was involved in extracurricular classes."
As for "complicated" and "complex", these two words have the same meaning. They are synonyms (words that are different, but share the same definition). So both words are adjectives that describe something that has a lot of parts that are connected to each other. In English, we most commonly use these words to describe something that is not easy to understand or something that is difficult to do because there are a lot of different parts. For example:
"The directions to build the table were too complicated."
"Their relationship is complicated."
"Politics is very complex"
I hope this helps :).