Stochastic Processes: Theory for Applications, Robert G. Gallager, Cambridge University Press, 1st ed.
High Dimensional Probability: An introduction with Applications in Data Science (pdf), Roman Vershynin.
Understanding Machine Learning: from Theory to Applications (pdf), Shai Shalev-Shwartz and Shai Ben-David.
Other Useful Materials
EE 178 Lecture Notes by Prof. David Tse (Basic Probability)
EE 178 Lecture Notes by Prof. Abbas El Gamal