I don’t play the tabletop, but I’ve been getting into the lore side of things over a few years, mostly through videogames and youtube videos. The videogames I can recommend, that are pretty fun and well made and do give you some lore into how things go in the 41st Millenium are Relic’s Space Marine (sequel to come out soon) and the Dawn of War series, specifically the first two games. We pretend the third one never happened. They all go on sale frequently on Steam or GoG. Also, I can recommend the immortalized classic “If the Emperor had a Text To Speech Device” on Youtube, and if you’re into reading and tabletop RPGs, the also legendary All Guardsmen Party.