Kind of hard to recommend anything without more info. Your size, gender, time you can dedicate, threat environment, etc. all change what would be most appropriate.

For example, I'm a large dude, so chances are the crimes I will be subject to are likely multiple armed males taking my stuff. I've accepted that is likely a scenario I would never have a chance of winning by resisting and I concealed carry all the time. The amount of training and just luck one would have to have for even a chance against multiple attackers isn't small.

That being said, in spite what a lot of others on here are saying, its good to give yourself a skill set for something other than armed robbery, especially for women or smaller men. Something as simple as taking some boxing classes or classes that teach some open hand skills are worth doing. Its amazing how many people can't throw an effective punch. Not advocating punching someone who is robbing you at gun point, but if you are worried about other types of assault then having some experience in fighting back is a good thing.

First thing to do is just keep up situational awareness and practice it. Eventually it just becomes a habit.

I would keep mace on you at all times and get some of the practice cans. I have my concealed carry on me most of the time and I still carry mace. It can buy you valuable time to get out of a situation and get to safety. Be sure to use the practice cans to make sure you can confidently draw and deploy it quickly. No point in it if you can't find it in your pockets or purse or whatever.

Honestly, I would just take some boxing classes close to you and go from there.