This database comes from the NBER's early history. To quote from its introduction: "During the first several decades of its existence, the National Bureau of Economic Research (NBER) assembled an extensive data set that covers all aspects of the pre-WWI and interwar economies, including production, construction, employment, money, prices, asset market transactions, foreign trade, and government activity. Many series are highly disaggregated, and many exist at the monthly or quarterly frequency. The data set has some coverage of the United Kingdom, France and Germany, although it predominantly covers the United States." In all, more than 3,500 series are available.
You access the data via a searchable database (even "kitchen sink" returns a response). Micro-TSP's .DB format (which is pure ASCII) is used. This format is also supported directly by RATS and TSP.
Paper documentation on this database is available from the NBER.
http://nber.harvard.edu/macrohist.html
gopher://nber.harvard.edu:70/77/.macrohist/waistest/index