Profs. Eric Feigelson and Jogesh Babu at Penn State are widely seen as "Godfathers" of astrostatistics. Every year, they run the Summer School in Statistics for Astronomers which I attended in 2014.
The summer school's web page is publically accessible, and lecture slides and materials for exercise sessions in R with code and instructions. These sessions are connected thematically to some of the lectures, and all exercises consist of functioning code which can be run at home in e.g. RStudio. The lectures are a great introduction to a wide variety of techniques in astrostatistics, and it is easy to get one's hands on the gears in the exercises, but of course lecture slides are a bit superficial.
If one wants to go more in depth, the course materials also contain a long suggested reading list. Feigelseon & Babu are also the authors of a graduate-level astrostatistics textbook, which is built around real-life examples often encountered in astronomy, and which also contains a number of exercises in R.
EDIT: If you are more interested in the data mining/machine learning side of things, try AstroML, a combination of software module, text book and online resources like Jupyter notebooks etc. - the book costs what books cost, but many online resources are free.