It is generally believed that all the Apostles but St John were martyred, and although there are countless legends about their missionary activities and deaths, there are precious few hard facts. Most Lives of the Saints give the majority of the known facts; Pope Benedict’s Apostles is a good, short summary, but has less info than Butler’s and other Lives of the Saints.
I concur with the recommendation of Eusebius’ History, which is the earliest known historical (?) publication, soon after the Church was first legalized.
Also, I recommend the Golden Legend by Jacobis (c1000), but much is indeed legend. At a local Catholic college you can probably find access to the Belgian Bollandist Order, who are believed to have accumulated the greatest collection of records about Saints outside of Rome–I think more than 100 volumes.
I’m told most midEastern Churches and monasteries have legends and/or relics of the early Saints and Fathers who passed in their vicinity, but I don’t know how to find these stories. I’ve listened to Christian immigrants from India describe the travels and events of St Thomas’ mission in India, according to their records/legends.