Is there a way that I can check on what users with Admin access to my site are doing?

Each time an Admin page is called, the access date, admin ID, page accessed, page parameters and IP address are logged in the admin_activity_log table. The contents of this table can be viewed via database management tools such as phpMyAdmin. The table may also be exported using Admin > Admins > Admin Activity Logs.

You can also limit the scope of any admin user’s capabilities using the Admin Profiles feature.