I'm about halfway into S. T. Joshi's analysis of Cthulhu Mythos literature, The Rise and Fall of the Cthulhu Mythos.
So far Joshi has divided Lovecraft's mythology into two discrete phases.
In the early phase [1926-1930], Lovecraft's alien gods, occult books and overall oeuvre is essentially magical/supernatural. It was only later on [1931-1936] that he "de-mythologized" his mythology and dethroned Shub-Niggurath, Yog-Sothoth and their eldritch ilk to the status of extraterrestrial entities inhabiting a materialistic universe.
Joshi points out that much of the work written by HPL's followers under the Cthulhu Mythos canopy is lodged in a "First Phase" Lovecraft paradigm and laments that few Mythos authors manage to grasp the cosmic perspective of HPL's later work (perhaps best exhibited in At the Mountains of Madness, "The Shadow Out of Time" and "The Colour Out of Space").
Before reading Joshi's book I had never really made a clear distinction between these two versions of Lovecraft's mythology. Over time I guess I've synthesized HPL's work into a kind of psychic occultism wherein the trappings (Gods, Books, Places, etc.) of the Mythos refer to a super-reality that resembles the collective unconscious described by Carl Jung. In other words, Azathoth and the Great Old Ones exist at a magnitude infinitely higher than that of the mundane, so-called real world. They are lurking just beyond a flimsy veil that shields us from realities that would destroy our minds (and bodies in some cases). [Thomas Ligotti has done something similar in his fiction, endorsing the Lovecraftian notion that behind the screen of mundane existence is a deep, roiling madness that can infect, transmogrify and destroy us.]