What you've read are primarily the earlier pseudonymous works. Kierkegaard is sometimes spoken of as having two periods of pseudonymous authorship and simultaneously a prolific set of pastorals written in his own name. If you look at a timeline of both together, you will see he published at a prolific rate and sometimes released a pseudonymous work on the same day as a work in his own name.
In the title of your question, you speak of "understanding Kierkegaard" but in the body of your question, you speak of understanding the pseudonymous works. I will address both and the resources I take to be necessary for either goal.
If you want to understand Kierkegaard, I would think you need the following: (a) a thorough background in modern philosophy especially Kant and Hegel, (b) a familiarity with Lutheran Christianity in Denmark and its history, (c) reading mostly the pseudonymous works of which I would recommend the following: Part of Either/Or, Philosophical Fragments, Fear and Trembling, and Sickness unto Death. In terms of his own authorship, I would recommend Works of Love and 1 discourse -- Purity of Heart is to Will One Thing. It would also be helpful to read editions that include excerpts from his journals which talk about his process of authorship.
To understand a particular pseudonym, I would recommend reading My Point of View as an Author but also excerpts from journals which explain what sort of perspective the respective pseudonym takes -- specifically whether the pseudonym is supposed to be Christian [i.e., do they have faith?] or not and to what extent they are supposed to be able to see through the stages -- the aesthetic, ethical, and religious (or ethico-religious).