Both words really mean the exact same thing. the only difference would be in the imagination of the reader, because the different sounds of the words can conjure up different images to different people.

Before you read any further, please note that they mean basically the exact same thing. If you MUST know a difference between the two, just know that confuse is much more common. If you want even more detail, please keep reading. Perplex relates to things that are intrinsically complicated or unaccountable. In a sense, "perplex" is more objective than "confuse." Confuse is more on a personal level, something that isn't universally perplexing but still causes the same feeling in a person would be confusing instead. For example: Scientists would be more likely to find new data perplexing rather than confusing. Your mother might be confused when the dog takes her favorite sweater and hides it, but not perplexed. Most native speakers will almost never say "perplexed" in any context except writing, and even then so rarely. "Confused" is a much, much more common word.