Most of the books listed below deal with a wider period than specified in my title, but are books I refer to when lecturing on this period of Churchill's life. The books starred * are those I have personally found great when preparing such lectures. You may or may not share my choices! The one to start with is the double starred 'My Early Life' by Churchill himself.
Churchill: A Study in Failure 1900-1939 Robert Rhodes James
* Churchill: A Life Martin Gilbert
* In Search of Churchill Martin Gilbert
Churchill and the Jews Martin Gilbert
The Young Statesman Randolph Churchill & Martin Gilbert
David and Winston Robert Lloyd George
* The Churchill Myths Steven Fielding et al
* Churchill Roy Jenkins
Young Titan Michael Shelden
The Wisdom of Winston Churchill ed. Sean Lamb
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** My Early Life Winston Churchill
The Story of The Malakand Field Force Winston Churchill
The River War Winston Churchill
London to Ladysmith via Pretoria Winston Churchill
My African Journey Winston Churchill
* Great Contemporaries Winston Churchill