CRJ-900 First Officer reported an EFIS COMP MON annunciated during takeoff. The flight crew continued the takeoff and elected to request priority handling and perform an air turn back. A precautionary landing was conducted at the destination airport.

Narrative

We were to fly from ZZZ to ZZZ1. I showed up to the aircraft late since I was arriving from a different flight. When I showed up to the aircraft the Captain had completed the pre-flight procedures and then once I got settled we conducted a PDC verification (assigned ZZZ RT XXX); Departure Briefing and Pre-flight checklist. We departed Runway XX and on the takeoff roll received a caution for EFIS COMP MON. I called it out; Captain said continue. On the climb out at 400 feet the Captain's (PF) showed a left turn to 340 and asked me to set 340. I said set and then we realized his display wasn't working so we transferred controls to my side. We then leveled off at 4;000 feet notified ATC of the loss of lateral navigation and asked for vectors back to the field. As we were turning we realized my HSI was providing unreliable heading information as well. ATC gave us degree amounts for the turn and we backed it up with the standby compass. We also asked ATC for a descent into visual conditions they gave us 3;000 feet and then 2;000 feet and finally 1;600 feet. The Pilot Monitoring briefed the approach. We went to green needles and ATC gave us a heading to intercept and the ILS for XX and told us it would be a left turn. We started down with a GS lock that seemed to match ATC instructions. ATC asked if we had the runway. We said no. The Captain then saw a tower and a bridge we got a GPWS caution and went around. We got vectors back around for a visual asked ATC to turn up the lights and used the MFD and made a normal landing.