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Theoretically, you vote for the Parliament, and they influence the Commission.

The Parliament and Courts keep the Commission in check, although their… misguided rule of majority is bound to allow some nonsense to pass. Especially since the Commission is, in my view, made up of people that do NOT want what the citizens do. You could argue they represent the majority of their specific countries, but even that is stretching things a bit given how many people actually vote.

So: the Parliament, the Courts (you can bring them issues), the European Citizens’ Initiative, and indirectly through your own country’s agencies (e.g. your local DPA).

It’s not that different from the high levels of indirection and bureaucracy in most democracies, I think. (Not that I’m defending the EU, there’s plenty to attack.)