Given that this is a two-parter, I'll review them both as a single episode in two chapters.
As was seen in the 50th anniversary special, The Day of the Doctor, in 2013, Zygon invaders were...let's just say, "convinced" to negotiate a peace treaty with U.N.I.T. to remain on Earth peacefully. By this point there are now twenty million Zygons living here disguised as humans. An opening video made by the twinned U.N.I.T. researcher Osgood explains how fragile the peace is and that if it ever breaks down there is a contingency plan inside a red carved box to deal with what's called the Nightmare Scenario.
That scenario has now taken place, with one of the Osgoods dead (see Series 8's finale, Death In Heaven, for more info) and the surviving twin on the run from rogue Zygons who have decided that they got a bum rap from their elders when they negotiated that peace treaty and now want to live openly as themselves—or else there will be consequences.
The first part basically exists to set up the story for the second, so there's not much to review other than to say that U.N.I.T. must be scraping the bottom of the barrel for red-shirts these days. You'd think they'd recruit people smart enough to know when they've walked into a trap and not to take the bait. Alas, they don't.
Part Two, The Zygon Inversion, deals with the consequences of war and why it should be avoided. Jenna-Louise Coleman delivers a rather good performance as Clara and her Zygon counterpart Bonny, who leads the aliens' revolution.
Oddly enough, Stephen Moffat for some reason decided to throw ambiguity into the mix as to whether it was the original Osgood or her Zygon twin who was killed off in Death In Heaven. The only relevancy seems to be to reinforce the prophesy of the Hybrid, which the Doctor supposedly has a hand in creating, and which is supposed to be resolved by the end of Series 9. We've already seen some red herrings in the form of Davros' regeneration-energy-charged Daleks, and Viking girl Ashildr, and now a third one in Osgood. Moffat likes to play poorly-written head games with audiences, so don't expect much delivery on his promises.
I give this two-parter a C.