Use the Internet Archive, American History in Video and Kanopy to find newsreels, documentaries, and other video resources. The HathiTrust has a vast and growing library of digitized content, especially for U.S. government documents.
What we refer to now is not always what it was called at the time, for example World War I won't work as a search term at the time of the war, so search for specific events, or people, instead.
Bound journals can be found in the basement of the M.D. Anderson Library. There are many interesting peer-reviewed and popular journals available. A number of these periodicals date back to the late 1800-early 1900s, and are not currently available in digital formats. If you need help, just ask at the Information desk.
The Libraries maintain many periodicals and government documents on microfilm and microfiche that are not accessible in print or electronically. Just check the online catalog to find out their classification. At the M.D. Anderson Library, are located in the basement. The readers have printers attached. Ask the Shelving department for assistance.