The present study is focused on the emergence of dynamical complexity in the Earth's magnetospheric dynamics during magnetic storms as monitored by SYM-H index. A long time series of SYM-H index covering the period from January 2000 to December 2004 is analyzed using a quite novel technique, the permutation entropy analysis. We show that the normalized permutation entropy values of the SYM-H time series decrease during geomagnetic disturbed periods revealing a gradual increase in the temporal correlation of the fluctuations which generates a gradual increase in the complexity degree of the magnetosphere response to the solar wind magnetic field and plasma parameter changes. These large changes in the normalized permutation entropy values and complexity degree observed during the disturbed periods can be interpreted as the signature of dynamical phase transitions happening in proximity to the occurrence of geomagnetic storms and substorms confirming results previously found using different methods. The dependence of the degree of complexity on both the magnitude of the geomagnetic disturbance and the IMF ByGSM and BzGSM components is investigated and discussed.