You can of course do parallel HTTP calls or database queries with Python's existing threads (IO releases the GIL in Python) or via multiprocessing.

You don't have to use locks either - straight parallelism can be done very easily with the Executors in concurrent.futures. There are a lot of good concurrency primitives in the threading library in the stdlib including conditions, semaphores and barriers. Of course best to avoid parallelism with shared data if at all possible (and IMO it doesn't really come up much).