Catalogues raisonnés, exhibition and collection catalogues/catalogs (try both spellings): These will often include detailed provenance and exhibition histories of objects.
You can also find a book you are interested in about your artist or the work and follow the subject headings for exhibits and catalogs:
Exhibition catalogs can be tough to collect. They are typically smaller runs and sometimes are only sold at the gallery/museum where the exhibit took place. As such, interlibrary loan is your friend - they can get a book to you in a week or so and can get scans of pages (up to 50) to you in a day or two.
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