I also recommend the "Warhammer 40k Lore in (about) a Minute!" video, narrated by the late great TotalBiscuit:
https://www.youtube.com/watch?v=-MeVxKZBOfM
Less complete, only focused on the empire, and possibly out of date - but a lot quicker and more entertaining.
Hope you'll enjoy it regardless. :)
AmmoGuppy
Hoo boy. If you like a lot of lore you'll love 40k. Below is a link to a good article that gives a good rundown of the setting and factions and where the main story is at now for beginners. Happy reading!
https://ageofminiatures.com/warhammer-40k-lore/
Squidster491
Oh, thank you so much! I very much appreciate it!