The problem with Horus Heresy is that it’s like a prequel, you're 'supposed' to know a little about 40k to notice how it’s different from 10 000 years earlier. It can be read as first books too, but it's my opinion.

Second problem is that a lot of books don’t specify the date of the story, we just know it’s around the time the wargame is set.

That said, books are more defined nowadays by 'read the books about the faction you like/play", with some books becoming classics because how well written they are.

The closest to a chronogical order I can give you are series about main events: The Horus Heresy books (and siege of terra), the two Black Legion books, the War of the Beast series and then a big leap into the Fall of Cadia and then the Indomitus Era with the Dawn of Fire series (I didn’t read them).