The Yanhe Watershed, emblematic of the loess hilly-gully landscape and ecological fragility in China's Loess Plateau, has experienced significant soil erosion and extensive soil-water conservation measures. To elucidate sediment dynamics and identify influencing factors in this region from 1960 to 2020, a novel multidimensional multiscale complexity analysis (MMCA) method was developed, based on entropy and complexity perspectives. This method integrated the refined composite multiscale fuzzy entropy (RCMFE) with multidimensional complexity analysis, offering a nuanced evaluation of sediment complexity and its implications for water resource management and ecological restoration. The findings revealed two distinct stages of sediment complexity variations: 1971–1988 and 2000–present. During the first period, the operation of the Wangyao Reservoir predominantly influenced sediment dynamics, initially reducing sediment complexity through sediment interception but later increasing it during discharge phases, particularly at larger scales. After 2002, extensive vegetation restoration efforts significantly reduced sediment complexity but raised concerns about long-term ecosystem resilience. Over the past decade, urbanization and climate change have exacerbated sediment instability, especially over semi-annual scales. This study advocates for management strategies that prioritize ecosystem sustainability and address the challenges posed by climate change and urbanization, facilitating improved soil and water conservation efforts in the Yanhe Watershed and similar regions in the Loess Plateau.