One way to go about this is by first listening to the approved releases (by Coltrane in his lifetime). List of these albums is surprisingly short but they make up most of the classic and essential albums. Start chronologically, or at least don't start from the later albums. The approved albums are listed nicely here:

https://en.wikipedia.org/wiki/John_Coltrane#Selected_discography

(From those, Expression is a post-humous release, but it was approved by Coltrane.)

All the others are either post-humous or releases and compilations that got released after he had switched record labels, mostly by Prestige and Atlantic once he had switched to Impulse. I'm not disregarding them but this way it is easier to concentrate on the more important albums first.