Walter Kaufman's Nietzsche: Philosopher, Psychologist, Antichrist is the usual go-to study, though it's a little dated now. As is Alexander Nehamas's Nietzsche: Life as Literature, actually.

Otherwise, Gary Shapiro's recently published Nietzsche's Earth: Great Events, Great Politics has been very well received, and looks to be up your alley, although I've not read it.

Another classic but dated study is Tracy Strong's Fredrich Nietzsche and the Politics of Transfiguration, which I really like.

Otherwise I know a heap of readings of Nietzsche in the context of political philosophy, but they tend mostly to reside in book chapters rather than full monographs, which I dunno if you're keen on (edit: ah, what the hell - for a substantial one, check out Elizabeth Grosz's The Nick of Time: Politics, Evolution, and the Untimely, which is a study of Nietzsche, Bergson, and Darwin, but has three sustained chapters on Nietzsche.

Beyond that, two formative, indispensible readings of Nietzsche for me have been William Connolly's in his Identity/Difference, particularly the chapter "Democracy and Distance", and Bonnie Honig's chapter on Nietzsche in her Political Theory and the Displacement of Politics).

Thanks, SLX. I actually considered just PMing you this question, but I figured I'd let everyone else weigh in, too.

https://www.amazon.com/Nietzsche-Legacy-Germany-Cultural-Criticism/dp/0520085558/ref=sr_1_12?s=books&ie=UTF8&qid=1503110654&sr=1-12&keywords=nietzsche+and+cultural+history

Not exactly an interpretation, but it's an interesting look at how other's interpreted Nietzsche through time. I thought of it as related at least, and it was a really interesting read.

I hope you don't mind me hijacking your thread. I've just begun my own foray into the works of Mister Nietzsche with Beyond Good and Evil. I've read two chapters in it and I quite like the polemic, poetical style. Reminds me of Mister Stirner in more ways than one. The Prejudices of Philosophers was a good read, currently making my way through A Natural History of Morals. The only thing is that some of the chapters have me absolutely puzzled, as if I cannot make sense of what he's saying at all. I understand it's supposed to be interpreted but sometimes I have simply no clue. Would anyone be able to point me in the direction of annotations for BGAE? It would be greatly appreciated.

Take a look at Brian Leiter's Nietzsche on Morality along with Simon May's work, especially, Nietzsche's Ethics and his War on "Morality"

Walter Kaufman's book is a very important & influential piece of scholarship, though I think most Nietzsche scholars today would recognize it's pretty out-dated and flawed, but that's honestly how a lot of Nietzsche secondary literature is. They all have flaws. It's worth reading alongside other books I would say.