How to loop through multiple entries fields
You don't mention what your related entries field handle is, but remember that calling any related element (entries/assets/categories/users/tags) will require a .all() (or .one() or .ids() or one of the other query-executing methods) unless the related elements are eager-loaded. With that in mind I can't see anywhere in your code where you're executing a call to fetch the related entries from sidebarChoice, and you also seem to have a redundant inner loop. With eager-loading it might look like this:
&lt;div&gt;
  {% set sidebarChoice = entry.sidebar.with(['sidebar.yourRelatedEntriesHandle']).one() %}
  {% for sidebarEntry in sidebarChoice.yourRelatedEntriesHandle %}
      {% set myEntryQueryUrl = sidebarEntry.url %}
      {% if 'whats-on' in myEntryQueryUrl %}
        {% set myEntryQueryPath = '/whats-on/' %}
      {% elseif 'who-we-are' in myEntryQueryUrl %}
        {% set myEntryQueryPath = '/who-we-are/' %}
      {% else %}
        {% set myEntryQueryPath = '/' %}
      {% endif %}

      &lt;div&gt;
        &lt;h3&gt;{{ sidebarEntry.title }}&lt;/h3&gt;
        &lt;a href=&quot;{{ myEntryQueryPath }}{{ sidebarEntry.slug}}&quot;&gt;
          &lt;p class=&quot;smallcontentblocks-text&quot;&gt;{{ sidebarEntry.title }} text&lt;/p&gt;
        &lt;/a&gt;
      &lt;/div&gt;
  {% endfor %}
&lt;/div&gt;