CRJ-900 Captain reported a dual AHRS failure resulted in a request for priority handling and an air turn back to make a precautionary landing at departure airport.

Narrative

I was the pilot monitoring (PM) under radar vectoring on a parallel course to the ZZZZZ fix and cleared to 12;000 ft. MSL; with the autopilot engaged in night IMC conditions and continuous light/mod turbulence and rain; I noticed the excessive rate of climb not tapering off given the FMA showed ALTS CAP. The altitude never captured so I assumed controls from the pilot flying (PF); and disconnected the Autopilot using the button on the yoke; beforehand flying and returning to 12;000 ft. or thereabouts; before attempting to re-engage the Autopilot. It initially connected but turned in a direction contrary to what we expected (direct ZZZZZ). At some point I think it also re initiated a descent. Things begun to cascade and the Departure Controller queried our heading. We gave him what we believed to be an accurate heading but there was always some doubt as we seemed to be going away from the assigned fix. Eventually he told us we were I think 50 degrees off of a direction to ZZZZZ so I instructed the First Officer (FO) to re-sequence ZZZZZ and execute it. Meanwhile; I defaulted to HDG sync; HDG mode; but the aircraft would not accept it. The HDG bug was intermittently frozen and the heading seemed to have a mind of its own. There was a good deal of confusion while we attempted to establish a core problem and at some point; we had two red MAG indications. I don't recall seeing any EICAS indications other than an intermittent EFIS COMP MON that randomly popped up; making it difficult to determine which QRH area to refer to. By this time; we'd requested priority handling and asked to return to ZZZ. We made it known that we'd lost primary navigational functions and were having difficulty navigating. At that point ATC begun clearing a path for us and aided us using Precision Approach Radar instructions. The entire time we were IMC and those conditions were compounded by wind and rain elements. At around 4;000 ft.; we broke out but remained above a layer which was about 500 or so ft. in depth. A further clearance to 3;000 ft. saw us in the clear; however; having built; loaded; and saved the approach; the FO said it then dropped out of the system. But we were visual for as far as 12 miles out and we confirmed Runway 4 with one another off in the blurry distance. The descent and landing phase at that point were normal as I was able to refer to visual cues such as the city skyline; and the horizon; which ZZZ sat upon. We landed and rolled out safely and were told to taxi up to X and exit. Emergency services were not required.Potential double AHRS failure.None. These planes are highly and professionally maintained: I've never before encountered a cascading series of associated events and consider it to be a random unfortunate occurrence.