"Complex" may be defined as "Having many steps, details or parts." Many of Microsoft's products, including SQL Server, can be complex. I'm stating what most data professionals already know - there's usually multiple ways to do things in SQL Server. For instance, to import some data into a table you can use graphical tools, SQLCMD, bcp, SQL Server Integration Services, BULK INSERT, even PowerShell, just to name a few tools at your disposal.
That's really not the issue, though. The bigger issue is that there are normally multiple thought-processes, or methods, that you have available for a task. That's both a strength and a weakness. If things were more simple, you would have fewer choices. Sometimes that's a good thing. Just tell me what I need to do and I'll do it. However, your particular situation may not fit that tool or process, so having more options increases your ability to get your job done the way you need to do it. On the other hand, that's more for you to learn, which is harder.
There's another side of this benefit/difficulty that you need to be aware of. Even if you're quite good at what you do, keep in mind that the way you know how to do something may not be the only way to do it. Keep your mind open to new possibilities, and most importantly - to new knowledge. SQL Server professionals teach me something new every day.
So embrace the complexity - on balance, it's a good thing!