Can collapsible side bar possible in lightning console app. I know its possible in salesforce classic and I need the same kind of setup in lightning console app.
In Salesforce Classic, this feature is called the Knowledge One sidebar component. In Lightning Experience, use Lightning App Builder to add the Knowledge component to the case page.
What Knowledge component does in Lightning?
This component helps console users quickly find relevant Knowledge articles for their cases and perform basic actions, such as attaching an article to a case. This component provides similar functionality to the Knowledge Sidebar used in Salesforce Classic consoles. To use this component, Lightning Knowledge must be enabled in your org.
Refer the image below:-
Lightning Knowledge is different from Knowledge in Salesforce Classic. Learn more.
So for Your answer, In Lightning, You will not have knowledge as collapsible but it is there. You can put it anywhere you want on the page using Lightning App Builder. I would suggest to play with accordin available in Lightning App Builder and put Knowledge component inside that according to yourself.
For your reference:- What Features Are Available in Lightning Console Apps? and Customize Your Lightning Console Pages
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Lightning console apps allow users to work quickly by opening multiple records and related records on one screen. Now users can work even more quickly with Lightning console split view, a collapsible pane that keeps the list views you need close at hand.