You can not do in a one query but you can do it one transaction :)
As far as I know you are allowed to INSERT into or UPDATE one table per SQL statement. On the other hand, you can have multiple statements in a single query and separate the statement with a semi-colon (
;
).
Or a snipplet that can help you:
BEGIN TRANSACTION;
DECLARE @DataID int;
INSERT INTO DataTable (Column1 ...) VALUES (....);
SELECT @DataID = scope_identity();
INSERT INTO LinkTable VALUES (@ObjectID, @DataID);
COMMIT;