The US Senate Intelligence Committee report, released in December 2014, redacted the names of a number of countries that were involved in the torture and inhumane treatment of detainees.
Cheryl Gwyn, inspector-general of intelligence and security, wants to find out if New Zealand is among those countries.
"I identified a public interest in inquiring into whether New Zealand's intelligence agencies and personnel knew or were otherwise connected with or risked connection to the activities discussed in the US Senate Report," she wrote in her annual report released Wednesday.
She cautioned that the inquiry "does not suggest or presuppose" any New Zealand involvement in the CIA's brutal rendition activities between 2001 and 2009.
But security analyst Paul Buchanan believes otherwise.
"She's opened a can of worms here because there was no reason for her to open this inquiry unless she saw something," Buchanan told Radio New Zealand.
Gwyn also announced that she has developed a "formal internal policy for handling protected disclosures, or 'whistleblowing, '" and is trying to get the country's intelligence agencies to adopt it.
"The Edward Snowden disclosures demonstrate how critical it is to have a clear path, with appropriate protections, for disclosing information about suspected wrongdoing within an intelligence and security agency," she said in a statement.
The CIA detained terror suspects at so-called "black sites" around the world, where they were subjected to brutal interrogation methods, including prolonged sleep deprivation, beatings and water torture.