Comics were a mistake.

Comics are the worst, and WWII Marvel is particularly tricky, since it exists entirely retroactively and via flashback. This is a short list of comics I've decided aren't absolutely terrible, not a comprehensive chronology.
☞ Captain America & Bucky #620-624. The current canonical & best Bucky origin story. Hits all the major beats, from his mother's death up through the KGB years.
☞ Captain America: Sentinel of Liberty #12. This is a single-issue spotlight written by significant Captain America scribe Mark Waid. Nice look at the character before Brubaker, revisits a lot of the Silver Age stories. You might also try Captain America: Man out of Time by Waid, which is a self-contained intro story focusing on Steve's relationship with the past.
☞The Adventures of Captain America, Sentinel of Liberty #1-4. Not to be confused with the later series with the exact same name, this is a four-book flashback series with a lot of humor and great Kevin Maguire art. It's definitely a Captain America story, not a Bucky story, though.
Ed Brubaker wrote a super long Captain America run beginning in the middle of the 2000s, that basically completely rehashed Bucky Barnes, resurrecting him as the Cold War villain and later making him the title character of the book. Brubaker loves 1940s flashbacks, and I do recommend his run to anyone really interested in Bucky Barnes, but it can be a timesuck.
☞ Captain America v5 #1-14.
☞ Captain America #65th Anniversary Special.
☞ Captain America v5 #15-24.
☞ Winter Soldier: Winter Kills #1.
☞ Captain America v5 #25-50, 600. After issue #50, the numbering jumps straight to #600.
☞ Captain America: Reborn #1-6.
☞ Captain America: Who Will Wield the Shield?
☞ Captain America #601-619.
☞ Fear Itself #7.1.
☞ Winter Soldier #1-15.
☞ Captain America: Who Won't Wield the Shield? This is a parody of the Brubaker run written by Jason Aaron, and also the first and only appearance of Baal LeButte the Goat Boy, who is way better than Bucky Barnes because he's a goat that is also a boy.
So, I love the Invaders, Marvel's WWII-era super team who drove around in a flying submarine punching Nazis. But I don't love Invaders, the comic. Invaders comics are always bad.
☞ Marvels Project #1-12. A recent, conspiratorial and comprehensive take on the Marvel Universe heading into World War II. Also by Ed Brubaker. You might try also try The Twelve if pulp revisionism is your thing.
☞ Marvels #1. This is the first issue of a longer meta-comic, focusing on the war years. It's a classic of the 90s, with some of the better examples of Alex Ross painted art.
☞ Young Allies 70th Anniversary Special #1. About the Young Allies, two teen sidekicks and an Our Gang style battalion. There's a follow-up mini, if you're curious.
☞ Invaders #1-???. The current Invaders series by Zdarsky, Magno, and Guice is very Namor-centric but also not bad?? Not bad yet?? Unsure.gif