I have a matrix visual with fields in both the rows and columns. When I drill through via clicking on a cell, it works fine. However, if I click the row or column header (i.e. to cross highlight other visuals), then drill through via one of the cells in the highlighted row/column, the drill through filter only honors the row/column level filter, not the cell level filter context.
By default, drilling won't filter other visuals in a report. However, the report designer can change this default behavior. As you drill, look to see if the other visuals on the page are cross-filtering or cross-highlighting. Please refer to:Drill down and drill up in a visual - Power BI | Microsoft Learn
As you described, did you want to filter other visuals when you drill down?
You can create a bridge table for the mutual column, made a relationship with the other two tables and used it in the two tables. similiar solution
For more details on how to create a bridge table, please refer to the following blog:
Creating Bridge Table - Power BI Training Australia
Community Support Team _Yadong Fang