I would recommend reading the Bhagavad Gita with commentary. I paticularly like the commentary by Ramanuja (as well as Adi Shankara). The commentary often provides links to the Upansihads, which I feel helps to tie the valuable scriptures together. One can then broaden their reading list to the Upanishads.
I have not read the Vedas per se (although the Upanishads form a part of the Vedas, I undertood - I am always open to correction).
The commentary of Ramanuja can be found here, under the verse:
Srimad Bhagavad-Gita
I know you have read this Senedjem Ji, however each time I read it I have felt progress in my spiritual understanding so offer it for an option again, as the teaching of Krishna have much depth with the Archarya's have taken the time to highlight
