Interested in Mathematical Statistics... where to start from? I have been working in the last years with statistics and have gone pretty deep in programming with R. I have however always felt that I wasn't completely grasping what I was doing, still understanding all passages and procedures conceptually.

I wanted to get a bit deeper into the math behind it all. I've been looking online for texts and tips, but all texts start with a very high level. Any suggestions on where to start?

To be more precise, I'm not looking for an exaustive list of statistical models and how they work, I kind of get those. I was looking for something like "Basics of statistical modelling"
When looking for texts to learn advanced topics, I start with a web search for relevant grad courses and textbooks, or background tech/math books like those from Dover.

To wit, Theoretical Statistics by Keener looks relevant:
http://www.springer.com/statistics/statistical+theory+and+methods/book/978-0-387-93838-7

And this:
"Looking for a good Mathematical Statistics self-study book (I'm a physics student and my class &amp; current book are useless to me)"
http://www.reddit.com/r/statistics/comments/1n6o19/looking_for_a_good_mathematical_statistics/