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I have the following code:

setDataTG : function(component)
 var data = [], tgdata = [], current, row, picklistMAP = component.get("v.picklistMAP"), dataComplex = component.get("v.dataComplex");
 dataComplex.forEach(function(d)
 row = ;
 //Parse data
 if(d.hasOwnProperty('neOrderItem'))
 current = d.neOrderItem;
 Object.keys(current).forEach(function(k)
 if(k === 'NE__ProdName__c')
 row['NE__ProdName__c'] = current['Name'] + ' - ' + current['NE__ProdName__c'];
 
 else if(k === 'NE__Status__c')
 row['NE__Status__c'] = picklistMAP[current['NE__Status__c']];
 
 else
 row[k] = current[k];
 
 );
 
 //Check children
 if(d.hasOwnProperty('children'))
 data["_children"] = this.setDataTGChildrenHelper(component, d.children);
 
 data.push(row)
 tgdata.push(row);
 );
 console.log('****complex: ' + JSON.stringify(data));
 component.set("v.data", data);
 component.set("v.tgdata", tgdata);
 component.set("v.isLoading", false);
,

And it's not letting me call setDataTGChildrenHelper giving me the following error:

[Cannot read property 'setDataTGChildrenHelper' of undefined]

How can I fix this?

This is the case of lexical scoping. You limiting the scope of callback function by using function(). Instead change it to below:

dataComplex.forEach((d) => {

Arrow function does'nt has its own scope and so will get the scope of parent object.

Or you can use .bind(this);

 dataComplex.forEach(function(d)
 row = ;
 //Parse data
 if(d.hasOwnProperty('neOrderItem'))
 current = d.neOrderItem;
 Object.keys(current).forEach(function(k)
 if(k === 'NE__ProdName__c')
 row['NE__ProdName__c'] = current['Name'] + ' - ' + current['NE__ProdName__c'];
 
 else if(k === 'NE__Status__c')
 row['NE__Status__c'] = picklistMAP[current['NE__Status__c']];
 
 else
 row[k] = current[k];
 
 ).bind(this);
 
 //Check children
 if(d.hasOwnProperty('children'))
 data["_children"] = this.setDataTGChildrenHelper(component, d.children);
 
 data.push(row)
 tgdata.push(row);
 ).bind(this);

You can pass helper parameter into each helper function and thus you can call one helper function from another.

Example: helper1: function(component, event, helper)
this.helper2();
,

helper2:function(component, event, helper)
//helper 2 logic here

A simple and fairly easy to understand approach is to just alias this. The upshot is this approach still works if you have to support IE11.

const that = this;
someCollection.forEach(function (element) 
 that.otherHelper();
)