Primary sources are not only the ones in published form - you can create one by conducting an interview with participant of events you're writing about.
When making an academic research paper, you need to understand a difference between primary and secondary research sources. Primary research sources are the ones that directly reflect the given topic and are usually created by participants of researched events and in the time of the events.
Now, of course, in most cases you'll be looking at these primary sources in printed form, and in many cases people's diaries, letters, journals and other primary documents have been published for the use of historians, critics and students, and you may be able to find these at your local or school library. In other cases, there are primary documents that are still in unpublished form and it's possible that you may be geographically close to an archive that contains the kinds of materials that would constitute primary sources for your topic.
So, for example, let's say that in a history class, you were going to write something the history of your own community, perhaps on when it was founded by settlers in 19th century. You might find that the historical society or an archive or a library in your home town might have a trove on actual hand-written letters or other documents from those early days of your town's history, those will also constitute primary sources. You may get permission, go and study those sources and write about them in your research.
So, sometimes primary sources involve going all the way back to original documents that were created both in published or unpublished form. Primary sources could also include for example interviews that you would do with people who participated in the events. Let's say you were writing about Malcolm X, you might want to try calling people who knew Malcolm X when he was alive and ask for permission to interview them. If you did this, then the transcript of interview - the notes that you will take or actual document describing all words of your conversation, would also constitute a primary source because you're getting information straight from the horse's moth, as the saying goes. All those kinds of information and documents would constitute primary sources.
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