In a rapidly changing world, facing an increasing number of socioeconomic, health and environmental crises, complexity science can help us to assess and quantify vulnerabilities, and to monitor and achieve the UN Sustainable Development Goals. In this Perspective, we provide three exemplary use cases where complexity science has shown its potential: poverty and socioeconomic inequalities, collective action for representative democracy, and computational epidemic modeling. We then review the challenges and limitations related to data, methods, capacity building, and, as a result, research operationalization. We finally conclude with some suggestions for future directions, urging the complex systems community to engage in applied and methodological research addressing the needs of the most vulnerable.