My answer to your question is math. Learn to read and write proofs. Any intro to proofs will do: those employed in discrete math, the ones in analysis, the diagram chasing ones, whatever...Working with math proofs will definitely straighten out your thinking and whip your mind into shape.
I am in the same boat. I get the feeling that most Calculus books are just a compilation of tips and tricks. So I am suggesting you invest time into learning real analysis proper. Right now I am learning from [1]. It follows Rudin closely and as opposed to many other analysis books meant to "better explain" stuff, it goes deep into the trenches and actually tackles the subject.
Some suggestions to get you started:
Book of Proof by Richard Hammack: https://www.amazon.com/Discrete-Mathematics-Applications-Sus...
Mathematical Proofs: A Transition to Advanced Mathematics by Chartrand et al: https://www.amazon.com/Mathematical-Proofs-Transition-Advanc...
How to Think About Analysis by Lara Alcock: https://www.amazon.com/Think-About-Analysis-Lara-Alcock/dp/0...
Learning to Reason: An Introduction to Logic, Sets, and Relations by Nancy Rodgers: https://www.amazon.com/Learning-Reason-Introduction-Logic-Re...
Mathematics: A Discrete Introduction by Edward Scheinerman: https://www.amazon.com/Mathematics-Discrete-Introduction-Edw...
The Real Analysis Lifesaver: All the Tools You Need to Understand Proofs by Rafi Grinberg: https://www.amazon.com/Real-Analysis-Lifesaver-Understand-Pr...
Linear Algebra: Step by Step by Kuldeep Singh: https://www.amazon.com/Linear-Algebra-Step-Kuldeep-Singh/dp/...
Abstract Algebra: A Student-Friendly Approach by the Dos Reis: https://www.amazon.com/Abstract-Algebra-Student-Friendly-Lau...
That's probably plenty for a start.
[1] https://www.amazon.com/Real-Analysis-Lifesaver-Understand-Pr...
I think time invested into studying real analysis pays off because then you can later study measure theory, functional analysis and more advanced probability to deal with curse of dimensionality and whatnot.
edit: I started studying the book linked above starting from chapter 4 since the first 3 chapters are familiar from discrete math. Then did chapter 5, skimmed chapters 6(little linear algebra), 7, 8 (most "transition to higher math" books contain this stuff) and am currently in chapter 9.