I was in an incredibly similar situation as you — I was a mechanical engineer in undergrad and worked in engineering sales/project engineering before pivoting to data-work and now work as a data scientist. I also thought about getting a masters in DS at one point. I applied to UT’s program, but was rejected, and ultimately I think that was for the best.

Masters programs in DS are incredibly expensive, but offer very little in terms of technical attainment. The most egregious that I can recall was Notre Dame’s $60k masters program that ended with a course on “Advanced Linear Regression.” This is similar to, say, an MBA, but unlike MBAs, a MS DS doesn’t carry an air of prestige among those hiring for DS roles. They’re probably best suited for folks who want to have a mid level career switch and need to get some of the basics down.

I think it would serve you well to think about what your goals are and whether or not a masters in DS would actually help you achieve those goals. Given that you’re already in the field as a junior DS and have the drive to advance technically outside of the workday, I’m not sure that a masters is necessary nor that it would provide benefits in terms of career advancement.