I am new to After Effects. I want to link live temperature data to a video and have shapes change colour according to changes in temperature throughout the day (week, year etc). Can this be done on After Effects and are there resources to help me learn how to do this?
Begin by reading up on how to use JSON data and expressions. Everything beyond that will require much more specific info on how you envision this to work, how your data is formatted, what the system used to generate is is able to spit out, what you want the videos to do, how often they need to be generated and a gigazillion other things. This is way beyond just asking "Can AE do this and that?" and could easily evolve into a hyper complex project.
After Effects creates video files. They are not interactive. As Mylenium said, you can use data files to control animations, but you cannot create any kind of "live" display. Everything has to be rendered, uploaded, then played back.
If you need live data in real time you need to be looking at Adobe Animate or other similar apps.