Question: What I want to know is if it is possible for two planets to be close enough together to tidally lock each other (as in both planets are tidally locked), but in such a manner that they don't orbit each other. More specifically, could this happen in such a manner that the one further from their star would be perpetually in the shadow of the other?

I know, weirdly specific question. I'd be interested in the reasoning/science behind the answer, but a simple yes/no answer would actually suffice. (in case anyone's wondering, backstory for two a WH40k Wolf successor armies).

Answer: 
**Yes**, but the orbit will drift over time.

This may be possible if and only if there are no other (major) planets in your solar system. They won't be tidally locked, but the smaller one might be mostly in the shade. Consider a [Halo orbit](https://en.wikipedia.org/wiki/Halo_orbit) or [Lissajous orbit](https://en.wikipedia.org/wiki/Lissajous_orbit) around the [L₂ point](https://en.wikipedia.org/wiki/Lagrangian_point#L2) of a sufficiently low-density planet. The smaller planet may be in the shade most or even all of the time, if the configuration is right.

[![Lagrange points](https://i.stack.imgur.com/65pAT.png)](https://commons.wikimedia.org/wiki/File:Lagrange_points2.svg)  

(Source: [Wikimedia commons](https://commons.wikimedia.org/wiki/File:Lagrange_points2.svg))

It is possible to orbit L₂, in an orbit known as a [Halo orbit](https://en.wikipedia.org/wiki/Halo_orbit). In our solar system, those orbits are unstable, because of disturbances by other bodies such as the Moon and Jupiter. But if you envision a solar system where no other bodies of significance exists, such a configuration could temporarily exist.

Imagine such a world. At the larger planet, gravitation is too large and climate is too hot for life to exist, but by being much smaller and shady most of the time, the smaller planet has a reasonable climate, such that in the period of less than 50 million years, intelligent life emerges. Life goes on, until at some point scientists on the smaller planet discover that their orbit is very slowly diverging. It's not a problem for the next several thousand years, but the periods in the scorching Sun are getting slightly longer every century. Models predict this will only get worse, perhaps due to a passing star less than a light year away. Within the next 20,000 years, life will become unbearably hot. Can science come up with a solution? Can we generate enough thrust to keep our planet close enough to L₂ to manage our climate? Can science save the world? Stay tuned for this exciting new novel *Life at L₂*!

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See also those questions on Space Exploration SE:

* [*What does the Sun-Earth-Moon system look like from the Sun-Earth L-2 point?*](https://space.stackexchange.com/q/10355/33)
* [*Are there any (Lagrange) points in the Solar System in perpetual shade?*](https://space.stackexchange.com/q/3565/33)
There is a non-orbital solution as well. We've not got the technology to build it but 40k is considerably more advanced in many ways.

Have the larger planet orbiting at it's natural orbit.

Have the smaller planet orbiting in the shadow of the larger one further away from the larger planet.

As already discussed there is a problem with this, they will drift apart.

Embed a tether made of unobtanium through the cores of both planets and through space between them. That tether is strong enough to stop them from drifting apart. They now orbit as a joint unit. You would need to arrange the dynamics so that they hold the same position relative to each other (good thing you wanted tidally locked) and keep a modest tension on the tether.