Public Enemies by Bryan Burrough would be my recommendation.The book looks at Depression-era armed robbers like Machine Gun Kelly, John Dillinger, Pretty Boy Floyd and Baby Face Nelson but the main focus is on how they were caught by the newly-formed FBI led by J. Edgar Hoover. Before the FBI, these criminals and others with a fast car and a gun found it was easy to rob banks and then escape out of jurisdiction into neighboring localities or states. Hoover's new federal law enforcement agency was able to act across state lines and end high-profile banditry between 1933 and 1934.

The Big Con by David Maurer. Published in 1940, based on interviews in the 1930s. Large parts served as the basis for the movie The Sting.