Your fellow moderators should be open to criticism and be willing to account for mistakes. The first thing should involve talking to them about it if you are concerned about something. If there are others, you can first ask them if they want to say something as well. Don't start off by "ganging-up" on anyone.
You can start off by mentioning the specific issues, why you think they were wrong, and what you think can be done better. In milder cases, the other moderator will take them to heart and improve on them.
However, it may only be necessary to step it up first if these actions are causing real harm to the site. In such a case, merely talking to them may not be enough (though it could still be a start), and a higher-up may need to warn them before possibly revoking their powers.