Need help intercepting HTTP and HTTPS traffic on the host servers (Win / Linux)

I have a need to be able to intercept HTTP and HTTPS requests and responses on the host servers (Windows and Linux) and add a custom header to the response in some cases. What is the best way of approaching this and are there any open-source libraries that I can make use of and extend to achieve this?

Sorry, I do not have a clue on how to achieve this and looking up online only throws up results for commercial products. I do not have the budget to use a commercial product to achieve this.