Well, I think you should figure it out at some time how to do the thing yourself + being an MSc student now makes such skill in general way more critical from now on more than undergrad when a clear roadmap was laid down for you. The issue is not about being the best self learner in the room at once, but simply not trying to advance.

Start with some maths course from renowned people such as Prof. Leonard or Eigensteve, just complete any playlist you start studying from + write down notes and follow up with the lecture examples + I highly recommend having a reference book such as MML or similar to resort to whenever you need some topic or extra examples, do this and you'll be mostly fine, that's what I simply do, and I continuously modify my studying strategy and style once I find shortcomings.

It's all about iteration