There has been an increasing trend towards the use of complexity analysis in quantifying neural activity measured by electroencephalography (EEG) signals. On top of revealing complex neuronal processes of the brain that may not be possible with linear approaches, EEG complexity measures have also demonstrated their potential as biomarkers of psychopathology such as depression and schizophrenia. Unfortunately, the opacity of algorithms and descriptions originating from mathematical concepts have made it difficult to understand what complexity is and how to draw consistent conclusions when applied within psychology and neuropsychiatry research. In this review, we provide an overview and entry‐level explanation of existing EEG complexity measures, which can be broadly categorized as measures of predictability and regularity. We then synthesize complexity findings across different areas of psychological science, namely, in consciousness research, mood and anxiety disorders, schizophrenia, neurodevelopmental and neurodegenerative disorders, as well as changes across the lifespan, while addressing some theoretical and methodological issues underlying the discrepancies in the data. Finally, we present important considerations when choosing and interpreting these metrics. In light of the increasing popularity of complexity analysis in quantifying neural activity measured by electroencephalography (EEG) signals, we provide an overview of existing EEG complexity measures, broadly categorized as measures of predictability and regularity. We also synthesize complexity findings across different areas of psychological science (e.g., neuropsychiatric disorders and consciousness research), addressing theoretical and methodological issues underlying discrepancies in data.