Access can't enforce referential integrity for linked tables, and won't allow you to create such relationhips. Create the relationships in the database which is the source of the linked tables.
To deal with object dependencies when changing from local to remote tables, rename the old tables to something else, and give the linked tables the original table names.
For example if I have a query based on a native Access table named "tblFoo". I would rename "tblFoo" to "tblFoo_old". Then name the replacement ODBC-linked table as "tblFoo". Ideally the query would still work correctly even though "tblFoo" was now a link instead of a local table.
The same technique works for tables referenced in forms and reports.
Beware of the Access option, track name autocorrect. It may update the dependent objects when you rename the original tables. Turn that option off so it won't interfere.