If parenting these objects, there are ways to trick Blender’s set up of parenting inverses so that they rotate in the same local axis, but it’s a pain.
Thanks for your help! Someone on Blender Stack Exchange Gave me a Good Solution, by using the transformation constraint instead.
From the Stack Exchange Post:
In order to transfer a rotation from one axis to another, you need to use the transformation constraint. That way, you can map the transformations from one object to another one. You can as well change the source axis of the transfered transformations.
In your case, you want to read the X rotation transforms of the circle and convert them into rotations on the Z axis for the object, so you’ll have to use these parameters :