They're synonyms when they mean "complex" in the context of a device/machine/solution to a problem, but each of them has other meanings, which means that generally they're not interchangeable.
- sophisticated can mean worldly, not naive, high-class, glamorous: "she's a very sophisticated person, always dresses and behaves impeccably"
- intricate can mean very detailed, obscure, hard to understand, maze-like: "the network of tunnels is so intricate that it would be impossible to explore them without a map"
"Complex" could be applied to both of the examples above "a complex person" and "a complex network of tunnels", but an important part of the meaning and subtext is lost or changed (a complex person refers to a difficult character, rather than a stylish one, and a complex network doesn't convey the "obscure" and "maze-y" meaning).