Interpol is an intergovernmental organization facilitating international police cooperation. It even predates the EU and was under Nazi control since the anexxiation of Austria.
The role of Interpol is defined by the general provisions of its constitution.
Article 2 states that its role is: "To ensure and promote the widest possible mutual assistance between all criminal police authorities within the limits of the laws existing in the different countries and in the spirit of the Universal Declaration of Human Rights." ...
"To establish and develop all institutions likely to contribute effectively to the prevention and suppression of ordinary law crimes."
Article 3 states: "It is strictly forbidden for the Organization to undertake any intervention or activities of a political, military, religious or racial character."
Amongst the 190 signatories are the USA, Afghanistan, Myanmar, Germany...
It's decidedly not an european FBI.
And I expect the hollywood representations of the FBI to be exaggerated - that's why I noted that CONCORD/DED seems now to be like a hollywood representation of the FBI: Because I didn't want to imply that the FBI is that bad IRL.