Understanding the theory
General
Understanding Machine Learning, Shai Shalev-Shwartz and Shai Ben-David, Cambridge University Press 2014 (pdf).
Dive into Deep Learning, Interactive deep learning book with code, math, and discussions. Implemented with NumPy/MXNet, PyTorch, and TensorFlow (pdf).
The elements of statistical learning, Trevor Hastie, Robert Tibshirani, Jerome Friedman, 2009 (pdf).
Probability and statistics
Introduction to Statistics and Data Analysis for Physicists, Gerhard Bohm and Günter Zech, DESY 2010.
Neural networks
Neural Networks and Learning Machines, Simon Haykin, McMaster University 2009.