I’m a big fan of linked short stories. Some can almost read like novels and are often marketed as 
Jhumpa Lahiri’s exquisite, Roman Stories, has at its centre a suite of pieces featuring characters who live close to a set of steps. Written in elegant, precise language, Lahiri’s stories are suffused with a quiet empathy for characters living far away from their family or at the middle of a life marked by loss or discontent. The experience of well-heeled professionals contrasts with economic and political migrants, often homesick and struggling to pay the rent. It’s a gorgeous collection which marches the extraordinarily high bar set by her novella, Whereabouts.
Paul McVeigh’s I Hear You has a similar structure, comprising three standalone stories plus The Circus, ten pieces all featuring participants in the talent show put on by the titular club’s new owner. The £10,000 prize has focused the minds of all manner of performers – from the impressionist who’s incapable of being himself to the magician’s assistant who sees a chance for revenge on her coercive partner to the medium convinced he has a direct line to God, and happy to charge believers £99 to access it. There’s no room for fancy literary footwork but McVeigh conveys a great deal in these brief stories, all commissioned by the BBC to fill a fifteen-minute radio slot.

Sidik Fofana’s meticulously constructed Stories From the Tenants Downstairs revolves around the tenants of a rundown Harlem apartment block, each of whom is given their own distinctive voice, often in a vernacular which sings out from the page so that you can almost hear it. For all of them, the urgency of making enough money to get by is a constant, made all the more so by the eviction notices served by a company intent on making a hefty profit from the sale of apartments some have lived in all their lives. An impressive collection, so confident and assured it’s hard to credit that it’s Fofana’s first.

Any linked short story collections you’d like to suggest?
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From this selection, I only know Roman Stories, which like you I highly recommend. But the sort-of-linked story is a conceit I liked here, so I’d certainly like to give the rest of your choices a go.
That’s a particularly fine example. I think it’s a structure that works well: lots of room for character and thematic development which might convince the short story averse to give them a try.
I seem to remember Tom Drury’s The End of Vandalism (1994) was made up of linked stories. And of course the great Olive Kitteridge …
Olive is the queen of the linked short story! Thanks for the Tom Drury tip.
I love linked short stories too and I’ve read none of these! Thank you for so many temptations!