In non-fiction, I really enjoyed King Leopold's Ghost which explains the events in the Congo after it had been colonized by King Leopold and Belgium. You could also read essays by John Smith which details the feelings of the explorers first coming to "the New World."
As far as fiction, I would also echo the comment about Anne Bradstreet. The narrative by Mary Rowlandson would give a good idea about relations between the natives and the colonists.
I would suggest looking at Captain John Smith (A True Relation of Such Occurrences and Accidents of Noate as Hath Happened in Virginia) and John Winthrop's journal The History of New England. Both texts discuss the colonization and early life in America. Outside of those, I would suggest the writings of Benjamin Franklin and Thomas Paine.
As post #5 points out, there are many different places that have "colonial literature." In the United States, you could look at the poetry of Anne Bradstreet as she depicts Puritan life in early New England. You could look at the political and social writings of the founding fathers like Franklin, Jefferson, Madison and others.
First of all, this question is very vague. Since colonial literature is about the exploitation and/or settling of a new country, we could be talking about the works of any number of international authors and anytime during several centuries of colonization. I would suggest pinpointing the particular country you need information about and researching what literature was written about it. Hopefully you will find some colonial authors who documented the history of their country.
You might look at Joseph Conrad's Heart of Darkness as colonial literature in a way. We have Europeans inhabiting and exploiting Africa for ivory. Conrad looks at how the experience affects the indigenous population as well as the Europeans who are trying to profit from them.
This may be a little obvious, but the work of Chinua Achebe is a wonderful example of colonial literature. His most famous book, Things Fall Apart, was published shortly before his native Nigeria gained independence, and it, as well as many of his other works, grapples with the meaning and consequences of colonialism for colonial people. It is also among the first works of colonial literature by a colonial author to gain worldwide recognition, including in Great Britain.
If you are looking for writers to look into, I'd suggest V.S. Naipaul. He is a novelist who wrote on colonial subjects and colonial settings. A Bend in the Riveris the best book I've read by Naipaul.
Naipaul’s personal and artistic quest has been to discover his lost identity and the identities of the countries and people about whom he writes.