An algorithm is a well-defined set of steps to solve a problem in a finite amount of time. The complexity of an algorithm measures the time and space required for inputs of different sizes. Time complexity indicates the running time, while space complexity measures storage usage. Analyzing algorithms involves determining their asymptotic worst-case, best-case, and average-case time complexities using notations like Big-O, Omega, and Theta. This provides insights into an algorithm's efficiency under different conditions.