Up until quite recently, Games Workshop was quite careful who they allowed the license to. This went for games, media and third party merch (bobble heads etc)

This started changing, I would say, sometime after the huge success of the first Dawn of War game. There are now a whole rash of spin off games, action figures, even plushies.

A tv series based around the Eisenhorn stories was even in development at one point, but there has been radio silence on it, so that can be assumed as dead.

In the meantime, they've started their own subscription app that has animations, which is about as close as we'll get for a while I suspect.

As much as I'd love to see a big GoT scale adaptation, I think there are two big issues with that prospect rn -

1. Firstly, translating 40k recognisably would require an enormous budget. Just to have Space Marine characters walking around next to a random Guardsman would mean $$$$ in terms of layers of bespoke costuming, custom props, a ton of set dressing and CGI polish.

2. The game itself is struggling right now to figure out how to welcome new players to this grimdark world without making itself palatable to Nazis.

They went way too far on using the Ultramarines as a newbie friendly "vanilla" faction in a bunch of starter kits, stories and subgames, and that's made it much too easy for people to mistake the Imperium for default goodguys. The hopscotch from there to unironic use of the Imperium's fascist imagery or intentionally OTT battle slogans is much too easy to make as a result, currently.

To GW's credit, they seem to recognise the problem now and have started rowing back on it a little, but those issues would be amplified a million times by the simplification required to flatten this universe down to something tv shaped.