What I mean: Let's say I have a Main List, this main list needs to lookup some data from other lists. So for example I have a field named Projects, but each project has different Tasks(stored in a separate list). So if in the main list I select a Project, the Tasks should filter themselves from the big list of tasks, to only the Tasks associated to the Project. Is this even possible to do with sharepoint lists, or should I look at other programs?
After creating lists & lookup columns, you can show all data (main list & child lists) on single SharePoint page using List web part. To filter child list items based on selection in main list item, you can connect both lists on same page. Check below article for more information about this:
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