The first thing you need to do is to pick a tradition that appeals to you. This is going to order your explorations. The first thing you need to decide is, are you going to start with Christianity or are you just not up for that right now? If so then you should start either learning about or just reading the Bible or find a church you like.
My advise for you, even if Christianity itself doesn’t appeal to you, is to start with the Bible before going to church or a spiritual bookstore. You could just pick up a Bible and start reading it. But it’s a thousands-year-old compilation of spiritual writings, written for a long-dead culture.
I like YouTube for effective presentation of information, and by far the best resource I’ve found on the Bible is The Bible Project. You can get a sense for the foundation of the largest and most popular religion in the world through their videos.
If you want a more scholarly approach, I would suggest the book I’m currently working through right now: The Historical Figure of Jesus. This book presents the most even-handed depiction of Jesus, his life and times, that I’ve ever seen. After finishing this book, you’ll have the clearest picture possible for why Christianity exists and why it’s as big as it is.
If you're going the church route there's denominational and non-denominational. My advice is to start with non-denominational and if that doesn't appeal to you, start to learn about why the different denominations exist. Or obviously you can just go around to different churches and see what appeals.
So Christianity doesn’t appeal to you. No worries, I’m not going to judge. God’s just happy you want to get closer to Him. Plenty of other ways to approach spirituality.
What I advise that you do is to start with visual appeal. If Egyptian artwork speaks to you, start picking up spiritual literature in that direction. If the perfect Greek statues and athleticism and feat-inspired mythology of ancient Greek religion appeals, go with that. If the idea of spending hundreds of hours in sublime meditation discovering the secrets of existence appeals, go for hardcore Buddhism, which seems to be the only variety of Buddhism Westerners know.
There are spiritual bookstores that have sections in them corresponding to these kinds of regional traditions. Egypt is usually clustered with Greek and Jewish/Hebrew/Kabbalah. This is because they all originate from the Near East and over time they all co-mingled with each other to form what is now considered to be the Western neo-pagan tradition. You’ll often find Western European traditions like Norse pantheon close by.
The ideas all rhyme with each other in ways you won't find, say, with Buddhism or Native American traditions. At a spiritual bookstore you can wander the whole world in an afternoon. Each of them emphasize different sorts of practices. Buddhism is heavy on individual, seated meditation. Gnosticism and Wicca are all about group rituals.
Rather than churches, people interested in alternative spirituality form loosely-affiliated communities. Some of them will run through the local Unitarian church, which celebrates universal religion and will host whatever kind of service there’s enough demand for.
The space is too broad and deep to do anything other than point you at the resources I’ve so far found to be the best. For Buddhist practice the best I’ve found is Mastering the Core Teachings of the Buddha. For the Gnostic / occult approach you’ll want to learn about Aleister Crowley, an excellent short biography is: Thelema: An Introduction to the Life, Work & Philosophy of Aleister Crowley.
I don’t have good resources on the rest of it yet. Which is why I point you at local discussion groups. The best resource is always ultimately a person. You want someone who cares about the same things that you do. Groups of people, meeting in the flesh, talking about what’s important to them, are going to be the best source for that.