All five words describe something that is not easy to do or deal with, but each highlights a different aspect. 'Tricky' implies hidden difficulty that takes cleverness to overcome — you might not see the problem coming. 'Challenging' is more positive and suggests the difficulty makes the task interesting or rewarding. 'Complicated' focuses on something having many connected parts that are hard to untangle, rather than being difficult in a hidden way. 'Demanding' stresses the effort, time, or energy required. 'Tough' is the most informal and general, covering any kind of difficulty from physical to emotional. For example, assembling flat-pack furniture is tricky (the instructions hide steps), but running a marathon is tough and demanding, while understanding tax forms is complicated.
Formed from the noun 'trick' (meaning a deceitful or clever act) plus the suffix '-y', which turns nouns into adjectives. 'Trick' entered English in the 1300s from Old French 'triche' meaning deceit or cheating. The 'difficult' meaning of 'tricky' developed in the early 1800s — if something is full of hidden tricks, it becomes hard to handle. Both the deceptive sense and the difficult sense trace back to the same root idea of cleverness that can be used either to fool people or to solve hard problems.