Use "Estoy confundido" if you identify as male and "Estoy confundida" if you identify as female.
While "Estoy confundido" is grammatically perfect, native speakers often use specific variations depending on who they are talking to: Estoy Confundido
If you want to sound more like a local, you might skip "confundido" for more colorful phrases: Use "Estoy confundido" if you identify as male
Commonly used in Spain to mean you’re "muddled" or "tied up" in a confusing situation. Estoy Confundido
Beginners often over-rely on "No entiendo" (I don't understand). Using "Estoy confundido" is actually a level-up because it implies you've heard the information but need help connecting the dots.