^^ I agree. The first thing I thought of was Hard Times, by Studs Terkel. It’s packed with the personal anecdotes of many people from all walks of life during the Great Depression.
Books by Willa Cather give a good feel of what late 19th century life in the prairie states.
Edith Wharton reports from Paris and just behind the front during WWI are very interesting.
Louisa May Alcott wrote some great non-fiction describing life in the mid-19th century in Hospital Notes, The Good Wives,_ and what life was like for women and children was like on a commune just outside Boston in the 1840’s.
Nelly Bly’s reportage of the late 1800’s through the pre-WWI era are incredible. Much of her work is found in downloadable pdf format on the net.
There is a vast repository of personal stories describing everyday life on the net. The WPA’s Writer’s Project is online and is packed with interviews of people during the depression. The Slave Project, an offshoot of the Writer’s Project, is extremely large compendium of interviews with former slaves, complete with pictures. Someone had the presence of mind to catch these people in the 1930’s before they disappeared off the face of the earth.
The PBS website is packed with historic video reportage of the common man.
Reading old newspapers on disc and microfiche in the archive of any library will give you an excellent feel of life in any era. The opportunities are nearly endless.
Places to look are the Project Gutenberg for texts and the Internet Archive for both film and text.