The Sword Coast is ultimately a kitchen-sink fantasy setting based on traditional euro-centric tropes and myths.
Setting Information as a Player
Part of the Sword Coast's enduring draw is that players tend to need little a priori knowledge to jump into the setting and anyone who is familiar with fantasy tropes knows enough to try their hand at running the world (as opposed to Dark Sun or Eberron). As a result, different adventures set on the Sword Coast, (say, the Starter Set's Lost Mines of Phandelver or the latest adventure, Baldur's Gate: Descent into Avernus) can "feel" wildly different to the players.
This means that being prepared for any adventure or canon NPC is basically unfeasible. With conflicting edition lore, hundreds of novels, all the video games, uncountable live play streams... all of which might be—but probably aren't—relevant to the campaign you will play, it's understandable your table is overwhelmed.
Players really can't prepare well without a Session 0 of some form.
Aiding Players as a DM
The DM should know the campaign themes though. And with that, there are a number of resources the DM might offer their players. Many of the Fifth Edition adventures have handouts of differing lengths that can quickly orient players to specific areas. Waterdeep: Dragon Heist has some of my favorite.
- The Waterdeep Enchiridion is a fairly detailed overview (yes, I know what I typed) for the city that isn't specific to the module. That's a fairly beefy handout and when I run games for new players, it's a bit much. Passing it around might help your table though. You can find a PDF of just this chapter.
- What I normally use from Dragon Heist for Session 0 is the city map, Code Legal, and a 2 minute history of city events that might be important to the campaign. I do this for any Waterdeep adventure, not just the published module the material is from. This typically captures the feel pretty well since it introduces key leaders, government structure, high fantasy creatures, and how the players can expect to interact on a social level with all of the above. I use a similar structure for any new city/setting and largely let players direct the conversation from there.
Having said that, if you are running a game with significant political intrigue, you're players will need information on all the factions more than an area map. If you are running the Starter Set, they really only need to experience the first encounter and talk to a few NPCs in Phandalin.
That is to say, each campaign should be tailored to a few important reference points that the DM can share with the players.
My Recommendation for New DMs
Assuming the DM is also new to the Sword Coast (and D&D), I highly recommend the Fifth Edition Starter Set. It comes with everything you need to get a feel for the game including rules, pre-generated player characters, how to generate more PCs, setting information, maps, faction overviews, descriptive text, monster stats... all in two pamphlets (one for all the players and one for only the DM) that are fairly easy to pick up and read. You don't say where you are, but in the United States, the set can be easily found for under $15.
If you want more lore and less gameplay, the Sword Coast Adventurer's Guide is a quick way to hit the ground running. Personally, I would stick to a specific city, like Waterdeep, that is more relevant to the initial adventure you want to try running.