SIDE: Black & White features Kuroh, Neko, and Shiro’s background respectively (Shiro’s is currently under translation and isn’t complete, but there’s a good chunk of it available), along with going further into what happened to them after the Himmelreich’s explosion in ep. 8. (personally my fave novel).
SIDE: Blue features Takeru Kusuhara, a member of Scepter 4, along with Zenjo Goki, the former Blue King’s lieutenant.
SIDE: Red features snippets of the HOMRA’s Big Three’s past (it goes the most in-depth with Totsuka’s), but mainly features Anna’s.
Lost Small World features Fushimi and Yata’s background.
There ARE in-depth and follow-up things for the anime too, but they’re mostly short stories.
A Fork in the Road: The follow-up of Neko and Kuroh going to search for Shiro.
The Dog and the Cat of the Distant Seas: expansion on Neko and Kuroh’s search for Shiro
The King Who was Left Behind: Munakata and Daikaku’s exchange after Mikoto’s slain.
There are a lot more that include things that are prequel stories (reading the novels first make them easier to follow, though) and in-depth on events from the anime, but those I linked to are very direct follow ups,