Hey Darpavien, maybe I can help with the lore bit. To start with our premise, we work for an Inquisitor, who in the Warhammer 40K universe has almost-infinite authority to stop threats from humanity. One of these threats is Heresy, which is quite literal in the setting, as Chaos is pretty much a parallel dimension that best translates to hell, where deamons live and the Chaos Gods constantly battle one another. Psykers draw power from the realm of Chaos (called the Warp) to work 'magic' and are universally distrusted and have to be sanctioned or they will be hunted down. In the meanwhile, on the subject of Heresy; Mortals turn to worshipping Chaos for promises of power or simply are unlucky enough to be corrupted by some other influence. Cults like these spread like tumors, and at some point an entire world may be corrupted. The Inquisition strives to prevent this and has the aforementioned near-unlimited authority to root it out. If all else fails, entire planets can be destroyed through the act of Exterminatus rather than lose it completely to Chaos. But naturally, this is preferably prevented as the loss of resources is often too detrimental to the Imperium (ps. No one cares about the billions of people who die in the process, if one resource is infinite in the 40k universe, it's humans).
But the Imperium spans the galaxy and is comprised of millions of worlds. Inquisitors cannot be everywhere at once in person, so they employ specialized teams to deal with uprisings of heresy in their stead. Sometimes openly, with their full authority, but often covertly, to prevent panic. Because you can be sure that panic starts when it's known an Inquisitor has taken an interest in your planet. Planetary governors rush to cover up the incident. Priests call for mass purges of heretics. The populace goes into a frenzy. Production falls. And so on.
These strike teams often employ highly talented individuals of multiple disciplines. Agents of the Inquisition themselves are often Interrogators, the lieutenants of Inquisitors who often hope to rise to the rank of Inquisitor themselves. Sanctioned Psykers are a resource that the Inquisition has access to, to fight Chaos with the power of the Warp. And the Imeprium's mightiest super-soldiers, the Space Marines, tithe some of their kind to the Inquisition for the most deadly of missions. But there are other powerful organizations and groups the Inquisition draws agents from;
The Adeptus Mechanicus, the tech-priesthood of Mars, are the keepers of Technology in the Imeprium. These half-men, half-machine zealots treat technology as religion, and they are the keepers of all technological knowledge. Without them, no spaceship would be built, nor the humble las-rifle. Their planets are Forge worlds, completely converted into production facilities of unimaginary scale, to continuously feed the Imperium with its needs.
Far humbler are Scum, singularly talented criminals who got snatched up by the Inquisition with a simple ultimatum; serve or die. Their knowledge of crime is often exceptionally handy when trying to uproot a hidden cult.
Priests of the Adeptus Ministorum, the faith of the God-Emperor, join the Inquisition as a holy calling to purge the Imperium of corruption. They have massive sway over the populace and often go into battle with flamers. The Adepta Soriritas are the Sisters of Battle. By ancient decree the Adeptus Ministorum was not allowed to have men at arms, which they circumvented by having an exclusively female order of zealots in power armor do their bidding. Their faith in the Emperor is so pure that some can even cause miracles.
A far less shiny, but extremely necessary part of the Imperium is the Adeptus Administratum. The administrators and bookkeepers of the Imperium. To rule millions of worlds and keep galaxy-spanning war effort going requires a staggering amount of bookkeeping. These scribes determine production quotas, keep track of every tiny resource, record all history and.. well, are very bookish. That said, even the Inquisition cannot ignore the Adminsitratum. Some Inquisitors recruit scribes or sages who have staggering knowledge at the ready, and the know-how to cut through red tape that sometimes can choke an investigation for decades.
Then there are the two military branches (not counting the Space Marines, who are a power in their own right); the Imperial Army and the Imperial Navy. The Imperial army comprises of everything on the ground, from the soldier to general, from the lasrifle to the Leman Russ battle tank, while the navy controls the enormous space ships that ferry them around and can bombard planets. This split is intentional and complete, to prevent one organization from both having the ability to move armies and conquer planets with them. Naturally, the Inquisition can commandeer these forces for their own needs when required, but they often prefer to recruit individuals permanently. Be it a very competent squad of urban warfare soldiers, or a dogmatic commissar to keep people in line, to maybe that one soldier who turned out to be strangely resistant to warp influence..
There are other groups which I'll cover shortly:
The Adeptus Arbites: The Police of the Imperium, ACAB on steroids. The average citizen of the Imperium is of little interest to the Adeptus Arbites, their job is to keep planets in line. They mow down riots with combat shotguns, but they often also have skilled investigators who are quite canny at uncovering cultist activity.
Rogue Traders: These individuals are the equivalent in power to an Inquistor, in that they technically only answer to the Lords of Terra. Their near-unlimited authority is used in a different way though; they are given space ships and armies and sent out to claim wayward worlds, or the unknown regions of space, to expand the Imperium. They are conquistadors in some right, and their Dynasties can span millennia, and become exceptionally powerful in their own right. Some field entire navies of their own and control dozens of star systems and hundreds of worlds. They are also uniquely free in that they have the right to freely traverse the Imperium, are allowed to contact Xenos species, and are free to act with unlimited authority in the name of the Imperium. Not many are 'employed' by Inquisitors. Some help an Inquisitor out of boredom, others do it to subsequently add the planet they just saved to their own holdings. The Inquisition doesn't care, as long as the planetary tithes are secured.
Officio Assassinorum: These Officio offer several types of ultra-specialized assassins to serve the Imperium, the best of their kind. These individuals are molded, sometimes even completely rebuilt, to be the perfect killers. Sadly, their personality is often the first thing that is sacrificed in order to achieve this. Capable of killing anything, even space marines, these assassins are rightly feared.
Extremely rare are the Psychic nulls, or Pariahs. These individuals are the anti-psykers. They cast no shadow in the Warp and are immune to psychic influence, something they also unconsciously project around them in a bubble. These anathema are universally despised as everyone who comes near them feels revulsion for them. But they are a very valuable resource for the Inquisition. They are the anathema of daemons and witches, capable of walking up to both, banishing the first and shutting down the other, who feels mind-numbing terror for the absolute soulless void the null projects. The re-emerging Sisters of Silence is comprised only of nulls, and is often battle-trained. In ancient times they collected psykers across the Imeprium in the Black Ships, a task they are taking up once more.
Whew! well, as you can see, it's a vast universe, and you can be pretty much anything. If anything is of interest to you to play, I'll happily point you to more information.