One of the great things about Mythos gaming is that resources for better understanding the period are so readily available. I've gushed before that the single best supplement I've ever purchased was a 1922 edition of of "Winston's Cumulative Loose-Leaf Encyclopedia". For the price of a few game books a period encyclopedia isn't just an invaluable resource of information, but an incredibly immersive prop that players can consult as needed.
I've also taken to trolling through the Internet Archive for public domain books covering subjects of interest. I still dearly love physical books, but since I picked up a Kindle reader I find myself reading even more than before. The sheer variety of contemporary works from the 20s and 30s is stunning, all of it absolutely free and just a click away.
If you're at all interested in period exploration and seafaring I'd strongly recommend downloading "The Log of Bob Bartlett". He's most famous for being the Captain of Peary's ships during multiple attempts at reaching the north pole, but his autobiography also touches on his early experiences as a fisherman and merchant mariner. It's filled with interesting details, including the reasons so many sailors hated bananas and the dangerous flammability of pemmican. The later chapters involving the pole attempts and the wreck of the Karluk, trapped by polar ice as shown in the picture below, are absolutely riveting.
One issue I should mention is the casual racism and sexism of the text. By contemporary standards Capt. Bartlett is a monster, filled with disdain for women and the Inuit. "Problematic" doesn't come close to describing some of the passages he's penned. But just a few paragraphs after describing the north's native population as "barbarous savages" you'll find him expressing an obvious affection and respect for their abilities. It's a very weird dichotomy that pops up again and again in period accounts of expeditions under grueling conditions.