If it's on a device you own:
- Do not install software from your employer that requires admin permissions (i.e., requires typing your password).
- If you're on recent versions of Windows or macOS, various powerful actions like taking screenshots are restricted by default and should at least trigger a permission prompt. You can go to Settings or System Preferences and see which apps have been given permission. If you can, try to install apps only from the OS's app store (because those apps are sandboxed more tightly than traditional desktop apps) or apps from reputable publishers (e.g., it's fine to install Word or Photoshop or whatever, but don't install MyCompany Productivity Helper For Employees).
- Try to get work to give you a corporate device, or a way to work via a web browser or via remote-desktop to a computer on your desk in the closed office or something (and make sure that way doesn't involve installing custom software...).
- If you have to install custom apps, make a separate non-admin user account and don't type your admin password when you're logged into it. Then your company can watch your company work but not your personal stuff.
- If you're installing on a mobile OS, installing apps is generally fine but be very careful about installing a mobile device management (MDM) profile. When you install one, you'll be prompted about what sort of access you're giving your company; make sure you're comfortable with it.
BTW, the same goes for schools - for instance, if your school wants you to install some sort of app for taking remote exams, the purpose of the app is almost certainly to intentionally take screenshots so they know you're not looking at Wikipedia. See if you can install it in a non-admin account, or if your school is issuing laptops, use that (and don't use that laptop for personal stuff).
(Shameless plug: a friend and I run a personal security newsletter and we talked about this a bit last issue: https://looseleafsecurity.com/episodes/newsletter-2020-04-05... and we also have a guide to checking up on MDM on your phone: https://looseleafsecurity.com/episodes/newsletter-2019-12-07...)