If you already possess a degree let say a CS and for just gaining knowledge about data science, then you should self-study and go for online courses. It will be less costly and you can do it while working.
But for gaining qualifications that are widely recognized by today’s job market, go for the MSc program.
If you want a detailed explanation of Data Science then do check out Intellipaat’s blog which will help you in understanding DS.
You can get a hands-on project by referring to the following course by Intellipaat which will teach you Data Science from scratch to advance: https://intellipaat.com/data-scientist-course-training/
And if you are more into videos then do check out the following video tutorial which will help you in mastering in the field of Data Science: