Whoa, sorry this is a late reply. I don't get notified if I get responses to my comments. Anyway, I can't find it, but there's a good resource on a subreddit I found before about book recommendations and reading order. In lieu of that, I can tell you what I remember: the setting, timeline, characters and lore are too many and varied to jump into, so focus on something smaller and more localized. A standalone series, or even a single novel, that's more relatable and more focused can introduce you to the setting and themes of warhammer 40k (or 30k, if it's related to the timeline around the Horus Heresy) better than some of the ones focusing on the bigger conflicts. All that to say, start with the Eisenhorn series of books.

Also, read up a bit on some articles about the lore for 40k available online, there's a few wikis dedicated to Warhammer 40k/30k. There's going to be spoilers, of course, but maybe focus on something you'd like to particularly know about the world of warhammer 40k, e.g spacemarines, the imperium, the other alien species, something more related to the tabletop game itself, etc. Then see if it's to your liking, and you can branch off from there and read books about topics that interest you. Hope that helps a bit!