Help Linking SharePoint Lists

I use the 2-list option all the time with the default SharePoint form and it works great. But the most important questions isn't how to enter the data, it's how to RETRIEVE the data. Once people enter all these projects and initiatives, the next question will be "Show me all the initiatives for a project and the health of the project." Now what? How are you going to do this in separate lists? Sure Power BI is an option - and that's how I usually do this - but now people are going back and forth between PBI & SP. 

Or...

Option #2 A nicer but more complicated option would be to have a single list and a choice field for Project vs Initiative. It's the same basic premise as the 2 list option, but the lookup will go back to the same list. You will need a customized list form to make it work. (You could build a full canvas app, but that's alot of work when the list view already exists.)

1. The Title field must contain whatever identifier people use when referring to their projects, usually either Project Name or Project Number. Rename the Title field to Project Name/Number and make another column for the other value. I'm going to assume we're using Project Name/Title.
2. Make sure that the Project Name & Project Number fields both REQUIRE UNIQUE VALUES. This is critical for people to be able to choose a single project.  This Name/Number field will work for BOTH projects and initiatives.
3. Create a choice field for Project vs Initiative
4. Create a lookup field that references the Title/Project Name field in the same list. This will be used to tag initiatives to a project.

In your custom list form, when people choose Project, all the initiative fields should be hidden and a rule or workflow should add the Title/Project Name to the Parent Project Name field.

When people choose Initiative, they should see the Parent Title/Project Name as a dropdown lookup to choose the Project. This is the part that requires a Power App custom form as you will need to filter that field to show ONLY items tagged as "Project".

NOW you will have a SINGLE list where you can search or filter on the Parent Project Name field and see everything - the main project AND all the initiatives.