An inquiry has been ordered after it emerged a former senior employee in the Wales Audit Office received "executive coaching" costing £44,000.
Chief operating officer Anthony Snow went on "course after course" at a public cost of up to £300 per hour.
He left his post with a £750,000 pay off, which the audit office said the former auditor general kept secret.
The new auditor general said he was "shocked" by the news, which emerged after a freedom of information request.
Mr Snow left the organisation in September last year.
He was given a payment of more than £100,000 when he left his position as chief operating officer, and will be given pension contributions totalling more than £600,000 until he turns 60.
It has now emerged that he had "executive coaching" over a four-year period.
A spokesperson for the Wales Audit Office said: "The business case for Mr Snow's training programme would have been a matter for the former auditor general.
"We are investigating the approval of the training and whether this represented good value for money for the public purse."
New Auditor General Huw Vaughan Thomas has ordered an inquiry.
Plaid Cymru assembly member Leanne Wood, who represents South Wales Central, said: "This is yet another example of a scandalous waste of public money from those at the top of the organisation that is responsible for scrutinising the finances of public bodies.
"Staff training is hugely important, but this information shows that Anthony Snow went on course after course on 'executive coaching' at a cost to the public purse of up to £300 per hour.
"There is something not right here and we must get to the bottom of it."
Former auditor general Jeremy Colman was jailed for eight months in November after possessing more than 170 indecent images of children.