"Primary sources are materials produced by people or groups directly involved in the event or topic under consideration, either as participants or witnesses. These sources provide the evidence on which historians rely in order to describe and interpret the past...By examining primary sources, historians gain insights into the thoughts, behaviors, and experiences of the people of the past.
Note: If you are using a collection of documents brought together in a single volume, the preface, introduction, and other materials written by the editor are considered secondary sources; however the documents themselves....are primary sources."
Taken from Mary Lynn Rampolla, A Pocket Guide to Writing in History, 8th ed (Boston: Bedford/St. Martin's, 2015), 9-10.
Look at Primary Sources for Historical Research and Primary Resources at Yale for great overviews of different types of primary sources.
Provides digitized scans of American magazines, journals, and newspapers from colonial days to early 20th century.
Provides digitized scans of American magazines and newspapers from 1691-1877. The collection covers American history and culture, including advertising, health, women's issues, science, the history of slavery, industry and professions, religion, the arts, and more.
Digitized scans of Harper's Weekly during the Civil War & Reconstruction Era (1857 - 1871). The leading American magazine of the 19th century, HarpWeek covered political, military, social, and cultural stories through news, editorials, political cartoons, book reviews, serialized novels, and ads.
Artstor is a digital library of high quality images from leading museums, photo archives, scholars, and artists around the world, covering all areas of the arts, architecture, humanities, and sciences.
Here's just a small sampling of books with primary source documents:
Encyclopedia of American Historical Documents by 
Milestone Documents in American History: 
Milestone Documents of American Leaders: 
Milestone Documents in World History: 
Eyewitness to America: 500 Years of America in the Words of Those Who Saw It Happen by 