Self-teaching math is a skill in itself. The hardest thing is to recognize what it feels like to be confused, and to attack the source of your confusion (it's way too easy to think "meh, this makes sense" when it doesn't.)
Read with a notebook, like a monk, copy things down as you go. When you finish a book you should have a (somewhat paraphrased/shortened) copy of your own. Do the exercises if there are any (yeah, this will make you feel stupid. The more you can face this feeling, the more math you'll know.)
This is probably true not only for math. It suggests a general principle of rationality: seek out situations in which you might be made to feel stupid.
8stoat
My own experience is that it is fairly easy to identify points of confusion, and the hard part is finding a book or whatever, at the right level, to address that specific point. This is a tough problem to solve with self-teaching.
Learning math is hard. Those that have braved some of its depths, what did you discover that allowed you to go deeper?
This is a place to share insights, methods, and tips for learning mathematics effectively, as well as resources that contain this information.