I've been searching for a solid history of Luxembourg in English - and finally found one. Paul Arblaster's A History of the Low Countries traces the history of the Netherlands, Belgium, and Luxembourg from Rome to the modern era in great detail. While most of the focus is on the Netherlands, the book is a good way to familiarize yourself with the European forces that shaped Luxembourg. It was often traded between royals, along with Belgium and the Netherlands. I may never remember every detail of the history, but I did appreciate reading it.
This book answered a few questions for me. I had wondered why early 19th century birth records were in French, while twenty years later, they were in German. Turns out Luxembourg was controlled by France from 1795 to 1815. A few years later, they were an independent - German- principality. A little history explained a lot!