Indeed, it depends.
SP update first if the patches to be installed require a newer version of the SP to work (i.e. SP versions normally backwards compatible so okay to do first, exception being the 4->5 update to support 3.3.1).
MU updates include P patches since the last MU plus addition features/fixes.
EMU updates include the MU updates plus critical P patches released since the MU that can typically cause issues during updating (basicly a more stable MU but nothing new to warrent a version increase, if already on that MU you can just add the P patches).
Sometimes there will be a minimum MU+P level required before installing a new MU, the extra P patches might fix Node reboot issues that have the potential to happen while the MU install is rebooting Nodes.
On top of that are the version updates (3.2.2 -> 3.3.1 etc), typically you can go direct to the latest MU but again might be a minimum MU+P version for stability of the update process.
These are all online options with single Node reboots, sometimes HPE have more flexibilty if you are able to take the array offline to do the work.