Complexity is considered one of the hallmarks of megaproject failure; however, no common definition of complexity in the megaproject context exists in contemporary literature; particularly in developing countries. The present study explores the definitions, characteristics, and strategy to respond to the complexity of megaprojects in developing countries. An exploration of normative theories and a systematic literature review were performed to investigate the concept of complexity. This study proposes the definition of complexity as a “challenge” for entities—including project managers—in megaproject management. This definition extends to encompass both positive and negative challenges, offering a more balanced perspective on the causes of failure in addition to the sources of opportunities for innovation. We determine the aspects of megaproject complexity associated with structural and social factors of interrelatedness, nonlinearities, and emergence. This study proposes a formal definition, clarifying the characteristics of complexity and synthesizing strategy themes that respond to megaproject complexity. This resulting study provides insights for both megaproject researchers and professionals.