Noel Streatfeild [correct spelling!] Circus Shoes. It's a children's book though.

Not sure if it's exactly what you're looking for, but I read a book called The Mighty Atom about a strongman performer and early health guru named Joe Greenstein.  It spans his life, which does include the depression.  He was called the "Mighty Atom" because he was only 5'4" or so, but incredibly strong.  A lot of old time strongmen were just big guys who were purely showmen, but Joe Greenstein was about total health, and is a hero to grip-strength practicioners like me.

Hi Kaycee!  This book has been on my WL seemingly forever but sounds worth it.  It's set in 1900 and includes all the "characters" you'd see in a circus and their stories-check out the review!  It looks REALLY good:

Cirkus:  A Novel-Patti Frazee

I think it's the type of book you're looking for.  I love the cover art too!

Oh, that does sound good, Bonnie.  Thanks for posting about it.  I too, love that era and type of book or show.

ETA: I just looked that book up and added it to my WL.  It really sounds intriquing.  A lot like HBO's Carnivale, which was great in the beginning, but got too weird for us.

"The Hatbox Baby" by Carrie Brown takes place at the 1933 World's Fair in Chicago. Based on a real character. Well written, intriguing read!

A Son of the Circus by John Irving.  Very interesting especially because the characters are not American but from India and Canada, if my memory serves.

And if you like John Irving Hotel New Hampshire, too. Not sure if you have read Geek Love by Katherine Dunn, but that is one of my all time favorite books. Here is the link to the paperback: http://www.paperbackswap.com/book/details/9780446391306-Geek+Love

I read Modoc a long time ago, it mostly follows the lives of a boy and his elephant. It definately involves the circus, but I don't remember what era it is.  It's still definately worth reading though

There are a few books about the circus fire that took place in Hartford, Connecticut in 1944.

The Circus Fire by Stewart O'Nan - I listened to this audio and it was quite interesting.

Masters of Illusion:  A Novel of the Connecticut Circus Fire by Mary-Ann Tirone Smith - On my TBR pile

A Matter of Degree:  The Hartford Circus Fire - The Mystery of Little Miss 1565 by Don Massey and Rick Davey - On my WL

My suggestion is fiction but there is a lot of true stuff mixed in. Try 'So Young, Brave and Handsome: a novel' by Leif Enger. A clue: where do all the circus animals go in the off season? I loved it!  Another book along the same theme turned out to be Billie Letts 'Made in the USA'

The Circus in Winter :: Cathy Day     I haven't read it but it sounds good!

OMG I just finished Water for Elephants the night before last and I really liked it too! Thanks for posting this question.. at some point I will refer back to it and try the other books listed as well. :)