IMHO, this game is harder to learn than EU3 if you are playing majors, but easier if you are a minor.
In EU3 being a minor is tough, but being, say, Spain means it's hard to screw up. In HoI2 it's the opposite. If you are Brazil or Canada you can mess up all you want and things will still progress pretty historically, but if you are Germany or Britain, you'd better get it right.
I found historical events to be difficult to master when learning HoI2. In EU3 you can do whatever you want whenever you want, within the confines of the normal, well-defined game rules. In HoI2, you need to know that even though it's possible to DOW Poland and take it over in 36, or to ally with Japan right away, you really need to wait for certain events first. Basically, EU3 is much more free-style play and HoI2 is scripted to unfold historically to a much larger extent.