>>96418370
If you want the full history you should start with the horus heresy series but I warn you while some books are great some really suck, but it gives you all the context for how the imperium is set up in 40k.
You can also just skip it entirely if you don't care about space marines and dive into the Eisenhorn books which are widely considered a good entry to the 40k universe because it provides a lot of exposition to many factions and their relationships. Its set up as a detective series so its a slow burn.
If that doesn't sound up your alley then I would highly recommend the Ciaphas Cain books. They strike a great balance between narrative story telling, exposition, humor, and drama. It's all from the perspective of an Imperial guard Commissar.
If you just want to get into the thick of space marine combat I woule recommend Hellsreach which is Black Templars vs Orks or Devastation of Baal which is Blood Angels vs Tyranids.