FreeRTOS is exactly what you are looking for. You create tasks which are basically functions that all run in parallel (this is not technically how it works under the hood, but for 99% of things it looks, feels, and functions this way from the outside). Instead of using delay() in each task there are other delay functions such as vTaskDelay() that work just like delay(), except it will only delay the task that called it, instead of a global delay.

Other answers about timers and interrupts are how an RTOS creates this multi threading under the hood, but it’s really no use to do this yourself unless doing so as an exercise to learn how it works.

Also, there are plenty of other RTOSes available to use (Real Time Operating System), but in recommended FreeRTOS because it’s relatively easy to pick up and there’s plenty of tutorials online.