For a robot to learn complex movement skills, programming by demonstration and/or learning by trial and error is necessary. Measuring the complexity of such movement skills is important to decide the appropriate learning model, and the required size of dataset and additional prior knowledge. To deal with measuring the complexity of movement skills for robots, we propose an information–theoretic complexity measure. By modeling proprioceptive as well as exteroceptive sensory data as a multivariate Gaussian distribution, movement skills can be modeled as a probabilistic model. Next, complexity of the movement skills is measured by using neural complexity. In addition to the original neural complexity measure, endogeneous changes in time of the movement skills are modeled by sampling in time and modeling as individual random variables. To evaluate our proposed complexity measure, several experiments are performed on real robotic movement skills.