1 Grab the orc
In order to interrogate an orc you have to grab him first.
2 Some orcs need to be weakened
Leaders and war chiefs can't be grabbed before they get weakened. Weaken them first by lowering their power.
3 Grab options will appear
When you grab an orc successfully the actions you can do will appear on the screen along with their corresponding buttons.
4 Press the interrogate button
Press the interrogate button , X for ps4, and you will be sent to the interrogation mode.
5 Choose the leader you want Intel about
Choose the leader or war chief you want Intel about then press the button stated on screen to get information on him. (See How to ride a Graug in Shadow of mordor?)
6 Some orcs can give more info
The worm, or the Orc with a green icon on their head, can give more information about a captain such as their strengths and weaknesses.
7 Captains and warchiefs know more
Just like the worm Captains and warchiefs can also give more information about an Orc.
8 If the option isn't there
If the interrogate option doesn't appear then this might mean that you already have info about all captains. (See How to do a strike from above in Shadow of Mordor?)