If you enjoyed "Made in Abyss" and "Attack on Titan" for their intricate lore and world-building, there are several other anime you might find captivating.
One that stands out is Steins;Gate. It delves deep into the concepts of time travel and its consequences, weaving a thrilling narrative that investigates the impact of choices across time. The characters are well-developed, and the subtle layers of its plot become more apparent on subsequent watches, allowing for a richer experience.
Another recommendation is Mushishi. This series presents a world where ethereal creatures called Mushi exist alongside humans. Each episode is like a self-contained story, exploring the relationship between these beings and nature, which prompts deep philosophical questions about life and existence. The atmosphere and world-building are beautifully immersive.
You might also want to check out The Twelve Kingdoms (Juuni Kokuki). It's a fantasy series where the protagonist is transported to a parallel world filled with rich history, politics, and diverse cultures. The lore is extensive, featuring a complex system of governance and mythical creatures, which makes discovering the world's intricacies a rewarding journey.
Lastly, consider Vinland Saga. It is not only a tale of revenge but also serves as a historical drama rooted in Viking culture and history. The world-building is meticulous, with attention to the social dynamics, traditions, and motivations of its characters, creating a deep and immersive experience.
All of these shows feature their own unique approaches to world-building and lore, offering plenty to unravel as you watch.