I would first ask yourself why it is that you feel a draw to alternative forms of religion which you have no prior connection to. If you don't consider yourself a really religious person i feel like you would have difficulty adhering to an in depth spiritual practice with real obligations. May be something more similar to Chaos Magick could be more up your alley?
There is no instructor you can go to or a building that can set you on a spiritual path, at least not one like I believe you're hinting towards. There are plenty of resources online at the tip of your fingers though! Countless YouTube channels make content on esoteric practices and spirituality. You need to ask yourself what you're looking for, is it community? a feeling of control or power over yourself? do you want to do magic operations or focus more on devotional work with a chosen spirit or deity? A spiritual practice could be daily meditation, quiet prayer in your head, drawing seals and sigils on the inside of your shoes or phone case. There are endless possibilities!!
I would also definitely recommend listening to the Glitch Bottle podcast, it leans more towards the western esoteric category but there's episodes on Santa Meurte, Esoteric Catholicism, and Paganism.
Along with that I would recommend the book Consorting With Spirits by Jason Miller. It isnt designed to be your first book, but it gives fantastic guides for basic rituals and prayers to a variety of spirits and deities pagan and Christian.
Oh also, yes you can believe in whatever you want to believe in, while some systems of belief may have stipulations about the worship of other dieties its up to you to find your own justification for your induvidual practice