Vikings are known for making pre-columbian contact with the indigenous people of the New World in places like Newfoundland, Canada. But there is also evidence of the Inuit peoples making contact with the Vikings in places like Greenland as well. Sometimes in the context of low intensity conflict, and sometimes in the context of barter and trade. The Vikings are even mentioned in the oral traditions of the Inuit people of the North.
I was wondering if there was any actual evidence of indigenous people going back with the Vikings to their homelands in places like Iceland once they made contact. I have heard stories of some missionaries sending bishops to places like iceland and even "vinland"(which is possibly the Americas) at the time.
In short, no, not in any of the sparse historical sources on the New World inhabitants that we have.
We don't know whether any contact was made in Newfoundland. The Vinland Sagas do tell about contact with hostile natives in Vinland (which is in the Americas but is definitely not a term for the continent but a unknown region somewhere in the Newfoundland to Nova Scotia area; one of a number of named places in the Americas along with Markland, Helluland and of course Greenland). But those are stories with unreliable elements, which contradict each other and are recorded over 200 years after the events they purport to describe. In any case the Norse expeditions to Vinland were probably few and short.
The Scandinavian (almost exclusively Norwegian and Icelandic) settlement of Greenland lasted centuries on the other hand (~1000-1400) which is mainly after the Viking Age (which in Scandinavian historiography precedes the Middle Ages) and in that case we have more credible records of interactions between Norse Greenlanders (who are not 'Vikings') and Inuits, such in the Annals of Gottskalk from Iceland, where a short entry for 1379 says Skrælings (Inuit) killed 18 men and took two as slaves. But the Vikings are not mentioned in oral traditions of the Inuit people. If there was any contact during the Viking Age, which we're uncertain of, it'd have been with the Dorset culture and not the Thule culture who were the ancestors of today's Greenlanders. There was an oral tradition, not very detailed, about the fate of the Norse Greenlanders, recorded in the 18th century, saying that they'd all been killed by the Inuits.
There is not any actual historical accounts of barter or trade, but it is something that's speculated on since the point of settling in Greenland was trade in valuable commodities such as walrus ivory, and there was a situation where both parties thus had something the other wanted - the Inuits desiring iron, woven cloth and such items. But at least some of that which has been found in at Inuit sites was probably scavanged from abandoned Norse sites.
Iceland had bishops since the 11th century and two bishops in the 12th. Greenland was its own dioscese with a bishop seated at Garðar. By the late 1300s that became a title as none of the Greenlandic bishops ever went there though. Well prior to that there's are multiple records of Garðar bishop Eiríkr Gnúpsson (who has a wikipedia article that is about 90% incorrect) in Icelandic annals for 1121 stating that he'd gone in search of Vinland. We don't know why or whether he got there; presumably to convert people or at least document that there were people there to be converted, in order to expand his ecclesiastical province. There was no colony in Vinland at that time. (nor at any time given that the one known settlement in L'Anse-aux-Meadows does not appear to have been intended as a permanent dwelling and was therefore likely a temporary base for further exploration)
But as I said at the start, there's extremely little in the way of textual records about Skrælings, native Americans. The Vinland Sagas might have a few hints about contact, but their credibility is marred by uniped monsters and their ability to disappear into the ground and other things. The earliest account (in terms of when it was written, not when it takes place) is the Historia Norwegiæ of the early 1200s, saying (Faulkes translation):
Beyond the Greenlanders some manikins have been found by hunters, who call them Skrælings. Weapon wounds inflicted on them from which they will survive grow white without bleeding, but if they are mortal the blood hardly ceases flowing. But they lack iron completely: they use whales’ teeth for missiles, sharp stones for knives.
At least the latter part of this brief account is true. But given the point in time it was recorded, it likely depicts the Dorset people.
Olaus Magnus in his Historia de gentibus septentrionalibus (1555), describes the 'leather boats of the Greenlanders', i.e. umiaks in Chapter 9 of Book 2. He claims to have personally seen two such boats hanged up on display in Saint Hallvard's Cathedral in Oslo, in 1505. These had been taken by King Haakon as trophies, meaning Haakon VI (reigned 1343-1380) making them over a century old by that point, which they'd also have to be since the last records of the Greeland colony were around 1410. Magnus was almost certainly referrig to an armed expedition against the Inuit, recorded as taking place in 1354. The boats were probably destroyed when the cathedral burned in 1624.
In summary there are credible records of a few native artefacts having been brought back, but no accounts of any people being brought back. Indeed, no accounts of any real interpersonal contact.