Look up the Emperor and his origins which also leads you into what the Immaterium/Warp is as well as the Astrnomicom.

From there you’ll go to the Horus Heresy to understand why things are messed up with some light reading on the various theologies that dominated the Imperium. As well this also leads into understanding what Chaos is, especially to the Imperium.

The Imperium isn’t just fascist, it’s fascist to the extreme with unending bureaucracy. Entire planets get misplaced in the archive as rounding errors. You’ll learn about Space Marines, the Imperial Guard from here.

Then look up the main Xenos factions. I recommend Orks, Eldar, and Tau as those are the current major players/antagonists to the Imperium. There’s more but those usually get more screen time so to speak.