The following terms can help you to get focused results when searching in library catalogs. When you combine one or more of these with your own specific area of interest (e.g., labor, women, children, art, African Americans, culture, economic policy, etc.), you'll get even more precision:
Depressions 1929 United States
New Deal, 1933-1939
United States History 1919-1933
United States History 1933-1945
To find primary sources in library catalogs, the following search terms - coupled with your subject terms - are among the most useful:
Some Other Sources of Books