A book referencing 12 short biographies of contemporaneous mathematicians is the book recently published in France, Parcours de mathématiciens, see there.
If I may give my opinion about the origins of this thread : of course autobiographies of mathematicians can help to understand some shards of lost history of mathematics or evolution of mathematical ideas. Autobiography is for long a pure literary work (memories are the more historical equivalent) due to his inherent difficulties (autobiographical pact, expression, retrospection), and hence less practiced by scientist who were, during the XIXth century and before, mainly philosopher, professor or technical worker, less interested in this king of difficulties than literature author, artists or theologist.
But if it is the aim of all that, there is no need to search only among autobiographies (event if their focus on personal history and feelings could help to understand the influence of all that on ideas, what is usually done for artists but not for scientist). Indeed, as lots of scientist were interested in philosophy, they used to write about the meanings and impacts of their works and ideas. Principally during the post-enlightenment.
Some examples, I will complete with some others when I will be back home, that are often included in mathematical works, for instance in introductions :
- Dedekind, Was sind und was sollen die zahlen (What are numbers and what should they be?), developing his own vision of what a number is and its differences with the notion of measure
- Hankel, Vorlesungen uber die complexent zahlen une ihre fonctione, who develop all his philosophy of the principle of forms in science
- Grassmann, Ausdehnunglehre, who thought a lot about the generalization mechanism, mainly concerning numbers
- Lagrange wrote letters during his whole life in order to remain in contact with the most mathematicians possible, there is there myriad of fascinating discussions and debates on different points fo view
- Galois have wrote no autobiography, but his letters are very personal and rich, not only the overstudied very last one.
For limiting myself to the XIXth.
Moreover, all the books mathematicians write about what they do are also part of their autobiographies, in the sense that it really show what they think, maybe even more than in an autobiography, restricted by the usually chosen chronological order. Henceforth, to some extent, history of mathematics is made less by writing about his life than writing about his ideas. And for that, there are plenty of works, mainly since the XVIIIth.