In this paper we study the problem of social learning under multiple true hypotheses and self-interested agents that exchange information over a graph. In this setup, each agent receives data that might be generated from a different hypothesis (or state) than the data received by the other agents. In contrast to the related literature on social learning, which focuses on showing that the network achieves consensus, here we study the case where every agent is self-interested and wishes to find the hypothesis that generates its own observations. Moreover, agents do not know which other agents among their peers want to discover the same state as theirs. As a result they do not know which agents they should cooperate with. To enable learning under these conditions, we propose a strategy with adaptive combination weights and study the consistency of the agents' learning process. The method allows each agent to identify and collaborate with neighbors that observe the same hypothesis, while excluding others, thus resulting in improved performance compared to both non-cooperative learning and cooperative social learning solutions. We analyze the asymptotic behavior of agents' beliefs and provide conditions that enable all agents to correctly identify their true hypotheses. The theoretical analysis is corroborated by numerical simulations.