Simply put, an inspector general is a watchdog who is part of the government and simultaneously independent from the entity they are tasked with investigating.
Somewhat analogous to internal affairs at a police department, the inspector general’s office for a given agency is tasked with looking into potential malfeasance by that agency or members of that agency, and issuing reports and recommendations on its findings.
On the federal level, the inspectors general are each assigned to a different part of the executive branch, with an inspector general’s office for the Environmental Protection Agency, one for the Department of Defense and so on.
These inspectors conduct investigations and audits, either in the course of their work or in response to requests that they pursue a particular avenue.
They issue reports with recommendations for changes or other actions as the offices see fit. Congress, in its oversight role over the executive branch, receives the reports and can pursue more information or changes in the course of its work.