Cavity-enhanced frequency comb spectroscopy for molecule detection in the mid-infrared powerfully combines high resolution, high sensitivity, and broad spectral coverage. However, this technique, and essentially all spectroscopic methods, is limited in application to relatively small, simple molecules. Here we integrate comb spectroscopy with continuous, cold samples of molecules produced via buffer gas cooling, thus enabling the study of significantly more complex molecules. We report simultaneous gains in resolution, sensitivity, and bandwidth and demonstrate this combined capability with the first rotationally resolved direct absorption spectra in the CH stretch region of several complex molecules. These include nitromethane (CH$_3$NO$_2$), a model system that presents challenging questions to the understanding of large amplitude vibrational motion, as well as several large organic molecules with fundamental spectroscopic and astrochemical relevance, including naphthalene (C$_{10}$H$_8$), adamantane (C$_{10}$H$_{16}$), and hexamethylenetetramine (C$_{6}$N$_4$H$_{12}$). This general spectroscopic tool has the potential to significantly impact the field of molecular spectroscopy, simultaneously improving efficiency, spectral resolution, and specificity by orders of magnitude. This realization could open up new molecular species and new kinetics for precise investigations, including the study of complex molecules, weakly bound clusters, and cold chemistry.