Amidst public acknowledgment of recurring ethical violations in the volatile financial services industry, Internal Auditing professionals (IA) do not seem to have done enough to perform their professional responsibility as a line of defence for their employing organizations. This paper explores whether changes in IA approach can effectively enable IA as a practice to fulfil its governance role in managing ‘conduct risk,’ i.e., any behaviour in a firm that could cause problems to consumer protection, market integrity or competition. We examine the ethical implications of the existing compliance-based IA approach and explain its ineffectiveness in auditing conduct risk within a turbulent environment. Using action research, we explain the germane changes necessary to define a new conduct-focused IA approach capable of predicting and preventing ethical wrongdoing. A conduct-focused approach launches auditors into unfamiliar but strategically critical areas to not only identify material risks but also add value to their organizations. We further examine how a change in the auditor’s mindset and other factors promote the effectiveness of the new IA approach in a sustainable way. Based on our literature review, this is the first paper to use action research as a way of introducing impactful change to IA, from a compliance-based to a conduct-focused approach.