A History of Western Music (8th Edition) by Burkholder, Grout, and Palisca. This book, in it’s various incarnations, has been the standard music history textbook for over 50 years. If possible, get the anthologies and recordings that are meant to accompany the book. The anthologies contain sheet music for the major pieces covered in the text, and the recordings are of high quality. Having these companions to the textbook will improve your learning process.

If you’re getting into specific genres there’s Art Crumb’s Heroes of the Blues
That comes with a lovely CD with exemplary tunes from several phases of the progress of blues music.

Alan Lomax’s The Land Where the Blues Began is also an excellent resource regarding blues music.