Xenophon wrote a continuation of Thucydides' work, called "Hellenica." It covers the last seven years of the war, and continues on from there until the battle of Mantinea and the end of the Theban hegemony.

Diodorus Siculus' Bibliotheca historica covers the entire period, from the Persian wars to Roman times. I haven't personally read it. Book 14 and 15 cover the same period Xenophon does, book 16 the period between the end of Xenophon's work and the time of Alexander. (Mostly, the reign of Alexander's father Philip.) Diodorus of course wasn't a contemporary like Xenophon or Thucydides, and certainly didn't participate in these events. He wrote in the 1st century BC.

There are other later historians that cover fragments of the period. Some of Plutarch's lives are in this period. (Pelopidas) We have the Philippics of Demosthenes, which are speeches denouncing Philip of Macedon for his encroachment on the rest of Greece. A cool bit of truly contemporary work.

Many speeches are delivered, men of Athens, at almost every meeting of the Assembly, about the wrongs that Philip has been committing, ever since the conclusion of peace, not only against you but also against the other states, and all the speakers would, I am sure, admit in theory, though they do not put it in practice, that the object both of our words and deeds must be to check and chastise his arrogance (Translation J. H. Vince)

I'm not, however, aware of any other extant histories that cover the entire period you mention in the way Thucydides does. I'm more up to date on Roman history than Greek, so if anybody has any additional suggestions I'd be interested in hearing them too.