We have designed and built a versatile modularized software library—ODYN—that wraps a comprehensive set of advanced data analysis methods meant to facilitate the study of turbulence, nonlinear dynamics, and complexity in space plasmas. The Python programming language is used for the algorithmic implementation of models and methods devised to understand fundamental phenomena of space plasma physics like elements of spectral analysis, probability distribution functions and their moments, multifractal analysis, or information theory. ODYN is an open‐source software analysis tool and freely available to any user interested in turbulence and nonlinear dynamics analysis and provides a tool to perform automatic analysis on large collections of space measurements, in situ or simulations, a feature that distinguishes ODYN from other similar software. A user‐friendly configurator is provided, which allows customization of key parameters of the analysis methods, most useful for nonprogrammers.