What I referenced above is the book I recommend, "Jung's Seminar on Nietzsche's Zarathustra." It is a transcription of academic lectures Carl Jung gave on Nietzsche- where he offers his own semi-translation and interpretation of the meaning.
I cannot think of a non-arrogant way to say this, so won't try (Nietzsche sure wouldn't have): but Nietzsche was an extremely smart person with subtle ideas, and most people- including academic translators that are supposed to be experts on his work, simply cannot understand his ideas, and therefore cannot translate them properly. One needs to be able to relate to his ideas from personal experience and (for lack of a better word) spiritual development, and also be able to appreciate complex nuance to really get it. This is confounded by the fact that Nietzsche had an obtuse style on purpose- he actively wanted his work to be exclusive, and not easily understandable, and actually often tried to be misleading or confusing on purpose. Carl Jung had a deep understanding of Nietzsche, that none of the English language translators have.
I have read all of his work, and it took me quite a while, including reading Jung's seminars to really feel I could grasp the bigger picture of his ideas. And once I did, I could clearly see that the translators who had translated and commented on his work were really only getting at the surface, and not really understanding- and then also choosing the wrong words when translating as a result, which was making it even harder to understand.
Also, if you are going to directly read his work, don't read Zarathustra first as it is an especially hard read- it is written in the style of an ancient religious text and not philosophy- The Gay Science would probably be my recommendation.