I just seen this under my car can someone tell me what it is or what it goes too?

 

That appears to be the secondary or after cat O2 sensor and what's left of its harness.
Your CEL light is most likely lit wit regards to open circuit on the secondary O2 sensor.

Damage to the converter heat shield and under body heat shields suggest an impact of some sort.

Did ya have fun off-roading?

 

That's the thing I don't remember hitting anything lol. Is it going to hurt it driving it like that or should I leave it parked?

 

Have the heat shield removed or reinstalled properly to protect the catalyst. Verify the body heat shield is attached and not going to cause a racket or further damage to the car.
Check the rest of the wiring harness, from the length of the wires hanging free they were probably ripped out of the secondary O2S connector. Probably easiest/cheapest fix would be to simply replace the complete secondary O2S, a Denso from RockAuto will cost ~$30 shipped.