Churchill wrote two key histories of this period, both running to several volumes. The World Crisis is in five volumes: Vol. I, 1911-1914; Vol. II, 1915; Vol. III, 1916-1918 Part I; Vol. IV, 1916-1918 Part II; and Vol. V: The Aftermath (London 1923-1929). The Second World War is in six volumes: Vol. I, The Gathering Storm; Vol. II, Their Finest Hour; Vol. III, The Grand Alliance; Vol. IV, The Hinge of Fate; Vol. V, Closing the Ring; and Vol. VI, Triumph and Tragedy (London 1948-1954). Both of these series have been condensed into smaller editions, which may be more accessible for students: The World Crisis 1911-1918, two volumes (London 1938), and The Second World War (Harmondsworth, reprinted 1989).
Churchill did not keep a diary, but a surprising number of the people who worked with him during the Second World War did. John Colville: The Fringes of Power: Downing Street Diaries 1939-1955 (London 1985) is both an entertaining and informative read, by one of Churchill’s favourite private secretaries. Alanbrooke, Churchill’s Chief of General Staff, also wrote a diary of the war years which has recently been re-edited by Alex Danchev and Daniel Todman: War Diaries 1939-1945: Field Marshal Lord Alanbrooke (London 2001).
Other useful sources include memoirs and recollections of people close to Churchill. Violet Bonham Carter: Winston Churchill as I Knew Him (London 1965) recalls Churchill’s years as a young Liberal politician. Lord Ismay: The Memoirs of Lord Ismay (London 1960) and Sir John Wheeler-Bennett: Action This Day: Working with Churchill (London 1968) are both useful