A compelling character is a complex one.
This made me stop and think. Are my characters really complex? I think my main one is, but are the others, or are they just there for her to bounce words off? Do they have their own story arcs, even if I'm not actually writing their tales?
It's the "iceberg rule". You only write about 10%, but the rest of the 90% has to be there to support the words you put down on paper (or electrons as the case may be).
One way to think in a detailed way about your characters is to interview them, either formally through a series of set questions, or to write it out, as if they were being interviewed by a therapist/priest/detective/reporter. If you're looking for a set of questions, try these ones by K. M. Weiland (plus her other posts, which all seem outstanding).
A few extra questions suggested by Emily that I found useful were "what is the character most ashamed of" and "why does their best friend/partner love them". What great questions! These are the sorts of things that can drive your character's actions, even if they're never mentioned in the story. The first question might be especially good for a hero, and the second for your bad guy; you need to be able to relate to them both, and this is a way to do it.
The other thing Emily said was you need to know your character, really know them. You might be standing in a queue and someone cuts in ahead of you; how would your character react in this situation. What if you're on a bus and there's a crying baby; what would they do? Now, these questions might not be appropriate if your character is on another planet (as mine is) but you get the idea.
So, have you done an interview for your characters? And do you know how they would react in a given situation?