If something vexes you, it brings you trouble or difficulty. In other words, it annoys, worries, distresses, irritates, bothers, or puzzles you.
Vex can be used as an adjective: for example, a vexing issue is not easily solved. The verb vex, the corresponding adjective vexatious, and the noun vexation are all slightly old-fashioned though still in current use. Vex descends through Middle English from Latin vexare, "to shake, attack, trouble."