While "Estoy confundido" is grammatically perfect, native speakers often use specific variations depending on who they are talking to:
Literally "I am lost," but used often to mean you have no idea what's going on. Estoy Confundido
Check out these quick lessons on how to express confusion like a native speaker: While "Estoy confundido" is grammatically perfect
If you're in a Spanish class or a professional meeting, "Estoy confundido" is safe and clear. "Estoy confundido" is safe and clear.

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