The primary source I used was The Dictionary of Mythology: An A-Z of Themes, Legends, and Heroes by J. A. Coleman. Unfortunately, it also does not contain research citations, so if that is critical importance it won't be of much use to you. (While I wanted to be accurate, I was making a game, not a scholarly work, so I didn't go quite that far in checking up on what I was researching.)
As the "Dictionary" part of the title implies, it tended to only touch briefly on any given entity, so if I found something interesting, I would turn to the internet to supplement what I'd found. Online encyclopedias were my favorite sources from the internet's offerings, but cultural websites from the lands/countries of origin for the myth I was researching were also sometimes useful if available in English. Occasionally Google Books would provide good results as well. But in all three cases, it was easier to use/find these once the Dictionary had already given me the hook, so to speak.
Thank you for letting me know! Anyway, missing citations is, in my opinion, a problem for the book, since that tends to imply that its accuracy is dubious, like that one guy who was using wikipedia to write books on Norse legends and vikings, but I'll check it out anyway, since I can verify with other sources. It just drives me nuts when I see things like Arcturus Publishing collections and they don't even have a freaking author listed. I don't like the idea of accurate traditional folklore being replaced by pop culture depictions, which is why I hate D&D with a passion. (Kobolds are an example. It's literally just a German word for goblin, but now the internet only gives me anthropomorphic lizards.) Or how despite how much I like Tolkien's books it irks me how influential he was, like, he based Smaug off of the shapeshifting dwarf Fafnir from Norse legend, and now that's the standard depiction of dragons despite earlier dragons being depicted as crocodile-dog-rat hybrids that were tiny and just animals, vermin even (look up old paintings of Saint George killing the dragon if you don't know what I'm talking about). That's mostly just a me thing, though, so don't let my personal gripes affect your enjoyment of anything.