Most major historical figures were prolific writers, speakers, activists, and public figures. This means they wrote and talked a lot. Their writings, speeches, newspaper columns, diaries, and other works are often published in collections so that historians can easily access their works. Because they were created by the individual, these can be viewed as primary sources.
If you are doing research on a particular event or period, it's worth your time to go to the eBook Academic Collection and the print catalog to find out whether the library holds collections of a historical figure's writings, speeches, etc. If the library does not, try Googling your historical figure's name and "speeches" or "writing." Then look for things like:
Can't find any digitized primary sources from your historical figure? Contact the librarian. They can often find you the resources you seek!