The Complete Works is a collection of all the works of one artist, writer, musician, group, etc. Sometimes the Latin language equivalent, Opera Omnia, is used, as for the works of Galen. For example, Complete Works of Shakespeare is an edition containing all the plays and poems of William Shakespeare.
Sometimes the complete works may be titled by a single word, "Works".
A "Complete Works" edition usually is accompanied with notes, introduction, biographical sketch, and other additional information.
A contrasting term is "selected works", which is a collection of works selected according to some criterion, e.g., by prominence, by being a representative selection, etc.
References
The Complete Works Wikipedia(Text) CC BY-SA