The Gilder Lehrman Institute of American History offers a number of links to primary sources on the Progressive Era.
There is a comprehensive website on President Theodore Roosevelt from PBS's American Experience, complete with a selection of primary sources.
The Library of Congress has downloadable videos from inside the Westinghouse companies in 1904.
The Library of Congress also offers extensive primary sources in the evolution of the Conservation Movement in the United States.
"On the Lower East Side" provides digitized transcripts of primary sources that describe life in lower Manhattan, New York, at the turn of the twentieth century.