Self-synchronization of time delay implies that the synchronization between the time-delay system and the original system keeps the structure and parameters of systems unchanged, thus these various problems produced by time-delay in practice are avoided. Taking a time-delay complex Lorenz system for example, we investigate its dynamic characteristics and the influence of of time lag factor. A nonlinear feedback controller is designed to realize the self-synchronization of time delay of the complex Lorenz system. Numerical simulations verify the effectiveness of the presented controller. The controller adopts some states to realize the synchronization of all states. It is simple in principle and easy to implement in engineering.