We know that we can configure a custom domain for an Experiience Cloud site, but can we do that for Lightning Experience? In other words, instead of working from http://mydomainname.my.salesforce.com, can we work from http://mydomainname.com?
You have Options to Serve a Custom Domain in Salesforce. You'll want to read the entire article, plus the other article if you choose to use a Naked Domain (such as
www.mydomainname.com). Not all DNS servers support the former, so you'll need to check with your provider. You just need to Add a Domain (Setup > Domains > Add a Domain), and set up the configuration there, then you need to add a CNAME to your DNS entry, which will be in the form of
[YourFQDN].[Your18charOrgId].live.siteforce.com, such as
www.mydomainname.com.00D000000000123AAA.live.siteforce.com. Other options are available, which I won't get in to here, as the documentation goes into a lot more detail.