Hello there! I am not an historian but I am a philosopher. Maybe I can provide some insight!

First, I am not sure how you would define "complex". But when we look back at thinkers of the 19th and 18th century, the idea of an increasingly complex world was certainly present. I think one of the issue is that the complexity of the world is overstated right now and understated back then. As often when people discuss the past, in particular in fields like business or policy (field I am familiar with), many people abide by a limited knowledge of the past. Despite their education, they are not taught much about it and end up making similar mistakes to the ones laymen make by falling into a kind of 21st century exceptionalism; as if, the 21st century is so special, unique. I mean, hey, who else other than ourselves, the Men of the 21st century, could be so complex and diverse?! Mainly when comparing ourselves to the past! Truth is though, there were vast trade networks and cultural exchanges that gave humanity different shades of complexity. Nonetheless, has it ever been a topic or something they would look at? Well, let's see.

If I take the German philosopher Hegel, he commented on this world becoming increasingly complex. As a witness of the French revolution and someone who spoke positively of Napoléon, he brought forth that the challenges of humanity were becoming that: more complex as they were becoming more diverse, and fragmented. He would go even a step further saying that some means of expression are not sufficient to respond to the challenge of that increasingly complex world! Art per example had reach its "expiry date" for him insofar that was not able to adequately represent the complex world they were living in. Truly, he believed that he was living in an extraordinary time.

But now, maybe we can look a bit further in history. Although I am not finding much on the topic before the Enlightenment, I think we can look at Saint-Augustine.

Saint-Augustine, in the City of God, discusses the place of the temporal and spiritual realms of power. One is religious, the other secular. It is abundantly clear when reading Saint-Augustine that relations between religion and politics were getting more complex and was interested in discussing the place of both in the increasingly complex society and religious institutions he was observing. So there was definitely an awareness of that "complex society".

Now, the thing is, this obsession with speed, progress, and complexity is a fairly recent one. My usage of Saint-Augustine is to show that there was an awareness of this complexity and even that it was getting more complex. But that was very secondary to them. To people alive today, this complexity is objectified, studied, even a goal sometimes. I'd say certainly a matter of pride. It is definitely something that emanated from the Enlightenment, of which Hegel was a part of but that a bit further in the past would not have been the kind of realisation to strike them. Not that it was not there but it was not a notion central to their social identity like we can observe now. I work in policy-related things while doing my graduate degrees in philosophy and this obsession with us living in a complex world is evident. But I think most of my colleagues do not realise that the truly modern part is the fixation on it.

I read back and I find I kind of half-answer your question because of how nuanced the answer has to be. But what I am trying to get at is that yes they realised they were living in a complex society, and in some cases believed it was becoming increasingly complex but that was never something major they'd focus on like you see today in fields like science or business.