Curiosity: forget “Cherchez la femme” (Look for the woman.) “Cherchez l’histoire.” (Look for the story.)
Start with what you know:
For example, as I write in the Afterword to the book, “I had specific geographic locations: Coleraine, Toronto, Alexandria, Albany, Jackson. I had a fixed time period: 1841-1900. I had the main characters: John, Francis, Father, Mother, Annie, and Fanny—and a very large supporting cast. I knew the organizations they’d belonged to: the Grand Trunk Railroad, the U.S. Navy, the US Military Railroad of Northern Virginia, the Albany Police Force, the Lake Shore and Michigan Southern Railroad, the Brotherhood of Locomotive Engineers. Several major historical events impacted their lives: the U.S. Civil War, the development of the Transcontinental Railroad, the depression following the Panic of 1873, the depression following the Panic of 1893, and the Spanish-American War. They wrote often of reading and sending newspapers to each other.”
If you are really lucky, your characters lived nearby and you will not have to travel far. Your local historical society may yield much useful information. In any case, you can learn a great deal at your local library. First of all, they will have Ancestry Library Edition available for free so that you can start with US Census data.
Before you go to the library, arrange your material in a way that will (a) preserve it and (b) make it easy for you to find what you are looking for.
I put all of the letters, envelopes, and other individual pieces of paper in transparent sleeves in a large binder. I also transcribed all the hand-written text into Word©, which made it even easier to find particular bits when I wanted to refer to them later.