For directors who didn't go to film school, where did they learn filmmaking? Watching movies and making short films give you a experience, of course. But it's usually not enough to be a professional director.
Many of the generation of the original Star Wars trilogy learned largely by watching "making of" videos and using Super 8 and newly introduced consumer video cameras to hone their craft. Kevin Smith is a member of this generation, and has said he was inspired to become a filmmaker after seeing Richard Linklater's Slacker and recognizing you could make a feature film with next to no budget. Linklater, who is about ten years older, reportedly taught himself simply by making Super 8 movies in his youth. Peter Jackson also just started making movies in his youth, and eventually saved enough money to switch to 16 mm, on which many of his early, cult classics were shot.
Quentin Tarantino seems to have attained mastery of the craft by watching every movie he possibly could, probably thinking about them obsessively, and then writing 2 great screenplays which were made into films by other directors (True Romance and Natural Born Killers) before he wrote a screenplay with a low enough budget (Reservoir Dogs) for him to be able to direct. [Note that he had co-written and directed a prior, "amateur" film My Best Friend's Birthday which was partially destroyed in a lab fire and never released.]
Woody Allen started out as a professional comedy writer in television before making the transition to film. In his case, he likely pitched the studios until he got greenlighted on his first project What's Up, Tiger Lily? Because he was already well regarded in the industry, he could get meetings.
François Truffaut began as a brutal film critic. It's possible he was spurred to start making film because of his dissatisfaction with the state of contemporary cinema, much as playwright Anton Chekov felt compelled to expand from criticism to dramatic writing per his angst over the inadequacy of melodrama and romanticism. (Both artist were pioneers in important artistic movements.) As with everyone else here mentioned, he just began directing, first with a short films, and eventually with feature length work.
These are just a few examples. The details are going to be unique for each individual self-taught filmmaker.