The Upanishads are the supreme work of the Indian mind, and that it should be so, that the highest self-expression of its genius, its sublimest poetry, its greatest creation of the thought and word should be not a literary or poetical masterpiece of the ordinary kind, but a large flood of spiritual revelation of this direct and profound character, is a significant fact, evidence of a unique mentality and unusual turn of spirit.
I made no study of it (Indian Philosophy), but knew the general ideas of the Vedanta philosophies. I knew practically nothing of the others except what I had read in Max Muller and in other general accounts. The basic idea of the Self caught me when I was in England. I tried to realize what the Self might be. The first Indian writings that took hold of me were the Upanishads and these raised in me a strong enthusiasm and I tried later to translate some of them. The other strong intellectual influence [that] in India in early life were the sayings of Ramakrishna and the writings and speeches of Vivekananda, but this was a first introduction to Indian spiritual experience and not as philosophy. They did not, however, carry me to the practice of Yoga: their influence was purely mental.
My philosophy was formed first by the study of the Upanishads and the Gita; The Veda came later. They were the basis of my first practice of Yoga; I tried to realize what I read in my spiritual experience and succeeded; in fact I was never satisfied till experience came and it was on this experience that later on I founded my philosophy, not on ideas by themselves. I owed nothing in my philosophy to intellectual abstractions, ratiocinations or dialectics...