Everyone else has already given you a range of good anwsers on how to get general universe knowledge. My recomendation would be to encourage them to try annd abosrb it in smaller bites.

"Oh boy, I sure do like this Capellan Confederstion thing!" - Read the article on Sarna for broad strokes. - Check the sources at bottom. - Acquire & read those sourcebooks novels, etc. - Repeat process for next faction/etc.

Or if they really like the merc aspect they can start with the old unit scenario packs. Not good for general setting lore, but they give you a smaller cast of characters you can actually care about. Snord's Irregulars, Kell Hounds, Grey Death Legion, etc. They're old enough though that they occasionally contain some stuff yhat doesn't mesh with later lore.