Barry Broadfoot has published three books that may interest you. The Pioneer Years, Next Year Country and The Veteran's Years each book is series of first hand accounts of life in the Canadian Prairies as told by the people who lived them. They are presented in a matter of fact style that tells us how things happened without any form of pretention or boasting along with some juicy bits of gossip. In them you will read of how one man sold everything he had to invest in a homestead and lose everything after three consecutive failed crops and how another showed up late with nothing but the clothes on his back and made a small fortune from the last and worst piece of farmland available. You will read about how Mrs X would go into town to wash clothes to earn money to feed her family and do, "cough cough," side jobs when the railroad crew was in town. In them you will find a story of one man who would work all winter only to take all of the money he earned to town and stay drunk in the gutters until his wife sent their son to bring him back, or how Mrs Y would come to town with bruises all over her body, and when her husband disappeared nobody bothered to go looking for him or ask about his whereabouts. Throughout each of these books we see the hardships and sufferings faced by the early pioneers and their acceptance that this was how it must be.

If you could possibly clarify what you are hoping for here, it might help produce more answers. Are you looking for books that are actually about the period 1900-1919, perhaps focused on the styles and culture of that period, for which people today feel nostalgia? Or are you interested in the things that people who were living in that period felt nostalgia for, presumably some period in the nineteenth century?

Either way, the question as posed is pretty broad and it might also help to be more specific, if you can, about what countries or social groups you are especially interested in.