I absolutely love the lore of 40k, but yeah it can be insanely overwhelming when trying to figure out where to start. A few months back I read some of the more recent comics based on a few characters; I would jump into the books but they're next to impossible for me to find with the travelling I'm doing.

I do know that Warhammer+ is a thing and I think they have digital versions of it all for a little monthly fee. No idea if it's available to you where you are though.