Perplex means to be unable to think clearly or decisively about something: “Her inconsistent behavior perplexes me to conclude if she is willing to marry me or not.”
Puzzle , on the other hand, has the following meanings:-
1. To present a mental challenge or to offer a situation that is difficult to solve: “The findings of the investigating agency may puzzle the mystery of the murder of the leader.”
2. To resolve a question or situation with ingenuity: “I was able to puzzle out why my brother resigned his job without informing anybody in the family.”
3. A challenging toy designed to amuse while requiring ingenuity to resolve or to complete: “I pass my leisure time by solving cross-word puzzle published in The Tribune everyday.”