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The Expositors Bible Commentary (amazon link here to Old Testament set) is that way. There are many commentators and they all site others sources. I have used Michael Grasanti's work on Deuteronomy extensively and he is constantly referring to others like Christopher J.H. Wright.
That being said, most commentators should be willing to recommend others works as it is rare for someone to discover something completely new. Many are already drawing off of the hard work of others.
Steve Gregg has free sets of audio lectures that go through all the Bible chapters and also sets of topical lectures. There are hundreds of files there. Some people who like his radio show have gradually listened to all those lectures over the course of four or five years.
Some of those lecture sets are the result of Steve teaching classes at Youth With A Mission training facilities.
Some of the associated lecture notes are available as PDFs at another website, matthew713.com.
If you prefer to learn through reading instead of audio, you could buy the set of volumes called "The Expositor's Bible Commentary" - eight volumes about the OT and five volumes about the NT. Those volumes total tens of thousands of pages, and you could set a goal to read some number of pages per day. They go into significant depth about each Bible section.
The ones I turn to, in order: