Heat the vegetable oil in a large heavy-bottomed pot or Dutch oven over medium heat. Add the mustard seeds, cumin seeds, fenugreek seeds, dried chilies, peppercorns, bay leaves, and cinnamon stick. Cook for 1 minute until the seeds begin to pop.
Stir in the chopped red onion and cook for 3 minutes until softened. Add the minced garlic and cook for 1 more minute.
Sprinkle the ground turmeric and chili powder into the pot. Stir briefly to coat the onions.
Add the chicken thigh chunks to the pot. Cook for 5 minutes, stirring often, until the chicken browns on the outside.
Pour in the split yellow lentils, split chickpeas, coconut milk, water, and kosher salt. Stir well to combine and bring the liquid to a simmer.
Reduce the heat to low. Cover the pot partially with a lid and let it simmer for 15 minutes.
Remove the lid and continue to simmer for 25 minutes, stirring often to prevent the lentils from sticking to the bottom. The yellow lentils will break down into a creamy sauce while the chickpeas remain intact. Check that the chicken reaches a safe internal temperature of 165°F (74°C).
Remove the bay leaves and cinnamon stick. Serve hot, garnished with fresh cilantro or chopped tomatoes if desired.