I am confused between these two concepts. My book gives $\ce{O2}$ as an example of a radical inhibitor and peroxide as an example of an initiator. But I don’t know why this is so? Both have $\ce{O-O}$ bonds so what is the difference?

Also aren’t all radical initiators in some sense? Aren’t radicals in general reactive and that they always create more radicals?

A radical inhibitor, as the name itself says, inhibits the formation of radicals. It reacts to "wipe out" radicals. $\ce{O2}$ is one such chemical. A radical initiator on the other hand is a substance that generates radicals, as in the case of $\ce{H2O2}$, which forms radicals via the cleavage of the $\ce{O-O}$ bond.