Hi all,
I have to respectfully disagree with some of what has been posted here. I did not study the Harmony of Mahler until my last semester of Music Theory in college, and the harmonies can be quite complex. This is becuase Mahler, like others in the latter part of 19th century, were stretching the limits of tonality.
An analogy which will help you with Harmony: (disclaimer, this is very simplified, and not to be read by Music Theory Professors) There is a concept called "Tonal Center" in music, which is like being home. We start at home, travel around, then come back. Now, I can reference your home without actually being there, by looking at your mailbox, or your address. I could also know what your principal home is by knowing where your summer home is, then matching the two up. In music, once home is established, there are various ways to build tension that implies that you are going home, but then go in new direction. Mahler, like many of his conteperatires, would keep tension building by referencing more and more of these houses-- but never actually establishing a new home (modulation), giving the listener just enough to pull that pull home (really simplified). Mahler, on top of this, also liked to use very complex, stacked chords to color his music.
However, rather than get caught in the weeds with a harmonic analysis, an endeavor which would give you much more bang for your buck would be to study the history of Mahler, and the Form of the symphonies he wrote, especially as a reaction to the symphonies of Beethoven. There were two reactions to what Beethoven did to the symphony-- the symphony should tell a story (Mahler did this for the symphony, while Lizt and Strauss et al. came up with a new for, the tone poem as a reaction), or it should be a form to appreciate as just a formal structure (Brahms and Bruckner are good examples). This will give you a good idea of what's going on from a big picture standpoint, instead of the micro standpoint of harmonic analysis.
Anyway, there are many ways to appreciate Classical Music. Knowing more about it does not impede its enjoyment any more than an educated palate detracts from the application of wine. There are ground rules to various styles of art, grounded in the history and time period of its creation. Great artists see that there are more than one answer to the questions posed by the form, and great listeners to that art complate why the artist chose a particular answer.
Ok. Off the soapbox.