A few recommendations :
In all secondary sources, look at their bibliographies and try to acquire any crucial primary docuмents they cite. In this way, you can become accustomed to thinking about the subject-matter on its own terms, not based on somebody's interpretation of it.
Also, always prefer primary sources over secondary ones unless the subject-matter is too dense and undecipherable. I think you will find that the more recent the event, the more difficult it is to analyze with primary sources alone. There is really very little comparison, however, between knowledge based on primary sources and knowledge based on another's summation of them.
Finally, go to the great battles, wars, and the history of Popes, Saints, and Kings. These are the primary agents in history, the flashpoints and the poles upon which all the rest turns. Understand the great men and you will understand their ages as well as avoid being sidelined into sociological nonsense and Marxist historiography that is ultimately misleading and not very important. In order to know all of history you would need the collective memories of everybody to ever live; focus on what is most important to know for the salvation of your soul, i.e., how you can advance the Kingship of Our Lord and defend His Church. The only things that limit you are not knowing many foreign languages and time and money; but history is a lifelong study, so don't get impatient and think you need to buy every book and read them all.