As cybersecurity threats evolve and cybersecurity teams update digital security infrastructures, employees often get perplexed by the threats and corresponding countermeasures. Drawing insight from a literature review and a qualitative exploratory study with 85 participants, this paper defines cybersecurity perplexity, a paradoxical psychological state that individuals experience when facing adverse cybersecurity conditions in the workplace (e.g., ambiguous or surprising security policies or awareness of cybersecurity threats). Cybersecurity perplexity has three interrelated dimensions: cybersecurity confusion, cybersecurity pressure, and cybersecurity response uncertainty. Central to cybersecurity perplexity is that individuals are confused and uncertain about how to respond, yet feel pressure to act, to adverse cybersecurity conditions. Our data suggests that perplexity merits researchers’ attention because it can arise from myriad cybersecurity conditions that individuals frequently encounter in the workplace. We contribute to the cybersecurity literature by providing a conceptualization of cybersecurity perplexity and initiating a discussion about this novel phenomenon encouraging future research.