The majority of that time frame (up to1922) is a period where most intellectual property is in the public domain. Which means that there is a ton of material from that period online.
That is the best kind of research you can do, you know. Not just reading up what historians and scholars have to say, but reading the actual magazines, newspapers, books and pamphlets of the time. The ads themselves can be very enlightening too. This tells you not only what we know now about the period, but what they thought and knew, and didn't know, then.
So, while I'm concentrating my writing on my current series, I am seeking out a big pile of reading material to get me in the proper frame of mind for that period. Bookmarking it, downloading it if possible. I have a bunch of old magazines on my Kindle and on my computer.
Doing this kind of research is a lot like hanging out in a very old library, or the attic of your great-grandmother's house. Finding stacks of magazines and dusty old books. But without the dust, and without a risk of damaging the material either. Or the need for a lot of shelf space.
Here are a few of the places I've had the most fun hanging out recently:
The grand-daddy of all ebook sources and of public domain archiving is not just a place to find the classics you read in school. Or even a place for pulps and penny-dreadfuls. There are also magazines and newsletters and political tracts.
Their goal is to have everything which is in the public domain, available to everyone in the world. It's all volunteer work, and it's all free. It can be a little hard to find stuff when you don't know what you're looking for, though. However, it can be fun to just browse through the books released on the Gutenbooks Twitter feed every day.
Aside from random books I find in the Twitter feed, I've mainly been collecting issues of the French magazine "L'Illustration" -- which is kind of like a previous century French "Life" magazine -- and the famous UK humor magazine Punch. Punch in particular has been great for views of both large and small events of the day, and the sensibility of the time. (It's kind of like a lowbrow New Yorker -- with more cartoons and silly bloopers and clever comments, but also some articles on politics, theater and stories which are more "slice of life" that full plotted stories.) PG has issues of Punch as early as 1887, and all the way up through at least 1920. There are lots of holes in the collection, and I'm always on the lookout for when they get more.
The illustrations/cartoons in Punch, btw, are purely black and white, and display relatively well on the Kindle screen-- though they usually loose some resolution.
This is an even bigger repository than PG, if only because aggregate others. They have links to PG, libraries and other archives. They also are a wonderful source of film, and other kinds of media. It's not always easy to find stuff there, partly because some of their best items are things you may not think to search for. I have had a lot of luck in finding interesting things by searching on "magazine" and the year I'm interested in.
I've found ALL of the issues of The Strand from first issue up through 1922, plus scattered issues of fiction magazines like Top Notch and The Popular Magazine. There are also film magazines, etc.
And I find quite a lot of movie serials (and standalone movies) though they are often fragementary. (Most films were made on combustible nitrate film up until the late 1940s -- so an awful lot of material has been lost.)
This archive describes itself thusly:
THE 100-YEAR-OLD PHOTO BLOG
Shorpy.com | History in HD is a vintage photo blog featuring thousands of high-definition images from the 1850s to 1950s. The site is named after Shorpy Higginbotham, a teenage coal miner who lived 100 years ago.
Most of the images seem to have come from Archives in Detroit -- the newpapers there, and also various publishing companies. They are beautifully restored, and extremely high-rez. And the Shorpy fan-base is always adding more information in the comments section on each photo.
I can spend all day browsing photos on Shorpy. (Note: although the original photos are largely in the public domain, the restoration work done on the negatives is under copyright, and it is not acceptable to simply take these images and do what you will.)
(Addendum: these days Shorpy has been displaying images from the Library of Congress images library. If you see a picture you like that you'd like to use for something, look closely the information on the blog post about it -- many of the Library of Congress images are in the public domain, although not all are, so you should look at the LOC notice on the page. Also many of the images need a little correction on the contrast and "gamma.")
You can also find a lot of material -- photos, film, books, magazines, newspapers, public records -- on university library sites (look for archives and special collections in particular) on government sites (local governments often have a little archive/museum/website with material too), and websites created by history or geneology buffs. Even YouTube can be a good place to find film archives, although again, you almost have to know what you're looking for before you can find it -- and the results are often incomplete and choppy.
See you in the funny papers.