A good place to start is the clasic depression-era book Since Yesterday by Fredrick Lewis Allen. For a colorful book without a single color photo try Cabal Phillips' From the Crash to the Blitz 1929-1939. Other good depression-era books: The Great Depression: America 1929-1941 by Robert S. Mcelvaine, Just Around the Corner: A Highly Selective History of the Thirties by Robert Bendiner, and Studs Terkel's Hard Times: An Oral History of the Great Depression. An excellent source book is The Historical Dictionary of the Great Depression 1929-1940, edited by James S. Olson; each entry in this dictionary is followed by a list of books about the entry.
Two men sat in the White House during the Great Depression: Herbert Hoover and Franklin D. Roosevelt. The books on FDR are many. I enjoyed Ted Morgan's FDR: A Biography and FDR the New Deal Years 1933-1937: A History by Kenneth S. Davis. FDR'S Splendid Deception, by Hugh Gregory Gallagher, is a fascinating look at how Roosevelt attempted to sidestep polio's crippling aftermath by learning how to look like he was walking.
Poor Hoover has a lot fewer books written about him. Joan Hoff Wilson's Herbert Hoover Forgoten Progressive and Robinson and Bornet's Herbert Hoover President of the United States are two fine books about this great American and citizen of the world who saved millions from starvation after both World Wars but is remembered mostly for presiding over the worst years of the depression.
The next recommendation may be difficult to find unless you have access to a good college or university library: The Complete Presidential Press Conferences of Franklin D. Roosevelt in 25 volumes. This is raw history taken from the transcripts of FDR's almost one thousand press conferences. Reading any one of these conferences is almost like being there. Also of interest: FDR's Fireside Chats edited by Russell D. Buhite and David W. Levy.
The approach of World War II is done well by Richard H. Ketchum's Borrowed Years 1938-1941. Threshold of War : Franklin Roosevelt and American Entry into World War II by Waldo Heinrichs is an excellent study of a president trying to lead his country where it did not want to go.
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