Start here. This is the direct spoken answer to practice first.
Why this question matters
Parallelizing a loop does not make the objects captured by its delegate safe. Scoped data-access and client dependencies often carry mutable state or limited resources that define the real concurrency boundary.
DbContext is not thread-safe, so I would not run concurrent queries or saves through the same instance. Its change tracker and database operations assume one logical unit of work at a time. I would first ask whether the work can become one set-based query or update, because that is often faster and simpler than many parallel contexts. If operations are truly independent, each worker needs its own context created through an appropriate factory and the overall concurrency must remain bounded.