You could try writing careful and detailed notes for yourself, and by "careful and detailed", I mean something you think even your former teachers would think is good and something you would feel comfortable in lending to someone else who needed to review the material. Maybe use two or three different colors of pens, if the notes are handwritten -- one color for problem statements, another color for problem solutions, another color for facts/theorems to remember, etc.
The reason I am emphasizing the quality of the notes is that this will force you to spend time thinking carefully about the material, and thus you will likely retain it better. Also, the notes will be something you can refer back to if "I'll forget what I learned if I ever learn it" comes to pass, but my guess is that the mental calm you'll get from preparing the notes will reduce your fears, thus allowing your memory to function better.
Also, depending on the subject matter and how well you know it, you could write problems on index cards, with solutions on the reverse side. This would work well, I think, for probability and combinatorics problems, since most of that involves practice in identifying how to solve the problems, and not with learning a lot of theory stuff. The index cards can then be ordered or grouped in various ways, in case your initial way of ordering/grouping them changes as you become more familiar with the material, something that is difficult to do with pages and pages of ordinary handwritten notes (because you'll have to decide in advance whether topic A comes before topic B, etc. when writing). Of course, for digitally-typed notes, you can rearrange sections and problems even after writing them.
By the way, nothing about this is specific to statistics or data science. I used the notecards method in Fall 2011 when I spent a few months studying Hilbert style propositional logic systems (e.g. see this answer), and I wanted to keep track of those results that could be proved using only modus ponens and the deduction theorem (e.g. the positive implication fragment of intuitionistic propositional logic), and then those results one could additionally prove in the slightly larger system of Johansson's minimal negation implication logic, and then those results one could additionally prove in intuitionistic implication logic, and finally those results one could additionally prove in ordinary implication logic. Regarding written notes and such for myself on various topics, I've been doing this since middle school (ages 12-14, 1971-73).
