I have tried many stats textbooks and none of them really works for me. The issue is that there are too many formulas and too little proofs or derivations. Some of these formulas are really technical (ugly) and you can't get the feel on what's happening without seeing the derivation.
To give a flavor of what I'm looking for, I will point to Chapter 4 in Wasserman's All of Statistics. In it, he derived the inequalities given in the chapter. So that's good; you know where the numbers came from.
I will first recommend to you the textbook from Casella, Statistical Inference which is a very classical and outstanding textbook in graduate-level statistics. Since it almost covers all general materials about mathematical statistics, it provides lots of beautiful math proof inside. Secondly, I will recommend the book by Keener, Theoretical Statistics: Topics for a Core Course, which is based on the measure theory so it will much deeper than the first one and is involved lots of math.
