The following references and learning materials explain SDMX in general:
SDMX page on Wikipedia, with a simple summary in 6 languages.
The SDMX website includes:
In particular, see Section 2 — Information Model (PDF link).
The GitHub organization of the SDMX Technical Standards Working Group hosts other standards information, such as:
Eurostat SDMX ‘InfoSpace’ contains many guides and tutorials, from beginner to advanced levels.
European Central Bank SDMX REST service help pages give many examples.
SDMXSource provides reference implementations of SDMX in Java, .NET, and ActionScript.