Start with a simple language like parsing JSON or S-expressions and do it in a language you already know. There are a ton of tutorials you can find online along these lines!

Course notes for University of Waterloo CS241 "Foundations of sequential programs"

Part of the course is understanding exactly when Regexps are good enough and when you need something more powerful.

http://anthony-zhang.me/University-Notes/CS241/CS241.html

As @rofrol already said, definitely Crafting Interpreters.

Just would like to add a link: https://craftinginterpreters.com/contents.html

It explains parsing and other topics in a really clear and accessible way.

Crafting interpreters?

Do you know Haskell? If not, I suggest you get accustomed to the language, and then read about monadic parsing [1] through Graham Hutton's work. Graham is a famous CS professor at U Notthingham, appears often in ComputerPhile [3,4], and wrote a book on Haskell [2].

I had to write an interpreter, optimizer and engine for a declarative language plus bottom up knowledge base in Haskell as part of an assignment, and an exam in a graduate course on advanced programming. Haskell made the problem significantly easier compared to languages I am much more comfortable with, like Python or C.

[1] www.cs.nott.ac.uk/~pszgmh/pearl.pdf

[2] https://www.amazon.com/Programming-Haskell-Graham-Hutton/dp/...

[3] https://www.youtube.com/channel/UC9-y-6csu5WGm29I7JiwpnA

[4] https://www.youtube.com/watch?v=eis11j_iGMs