The meanings do overlap.
A watch is "complicated." A car engine is "complicated." A musical piece where all the instruments all play different melodies that fit together into harmonious whole is "complicated."
Human emotions are "complex." The growth of a tree is "complex." The motion of a sailing ship, driven by wind and waves, is "complex."
"Complicated" tends to be used when there are visible, separate pieces. It suggests machinery, literally or figuratively.
Also, "complicated" is an everyday word that can be used in writing or conversation. "Complex" is slightly more formal. "Complicated" might be a safer choice if you are not sure which to use.