That is a terrific question!
Some people argue that art and literature are themselves historical records. It's been said that "history is written by the victors" of particular conflicts. Art and literature, though, are both often created by people who witnessed (whether directly or indirectly) historical happenings and not simply people who were directly involved in historical events. Because of that, art and literature often serve as records of the social and personal impressessions that follow from historical movements. In that respect, art and literature can be understood as being records of what particular historical events actually felt like, rather than simple descriptions of what occured during particular historical events.
That's a big question! Mwestwood raised some great points.
To that, I will add a few thoughts. First, as noted above, the relationship between art and history is not one-sided. As Oscar Wilde famously noted, "“Life imitates art far more than art imitates life."
In addition to political and social issues, history and art are also linked in terms of form and genre. Technological developments, for instance, can lead to changes or evolution in the art world. Film is a modern example of this. What started as a technological curiosity soon developed into an art form (and of course, a cultural commodity). With the advent of television, film had to adapt to a changing audience. Thus, the epics of the mid-twentieth century reflect filmmakers attempt to make movies distinct from the shows on the small-screen. They thus utilized the large-screen capacity of film to show bigger, longer, and more visually remarkable movies (Ben-Hur, Lawrence of Arabia, and so forth).
Art as an instrument of social policy has already been noted. As a specific example, however, I would add the WPA Federal Arts Project. Funded by the federal government in an attempt to combat the Depression, this is a case where historical/political and economic realtity directly affected art and culture. Some examples of WPA art can be viewed at American Memory Project at the Library of Congress website.
Sometimes, too, particular artists are "rescued" from anonymity because of changes in the social or political climate. For example, the feminist movement generated renewed interest in many female artists and writers, and scholars brought to light many forgotten books and works of art.
So often there is an interrelationship with history and the fine arts. In fact, literature is said to be the mirror of the society.
One example of literature in America that reflects its historical setting is the post-World War II novel of Joseph Heller, "Catch-22," which satirizes the bureaucracy of the military and of the U.S. government. (George W. Bush had this book banned from public school libraries.) The disillusionment and guilt that many felt after the atomic bombing of Japan, led many authors to write reflective works on the post-war malaise. Hemingway's short story, "The Soldier's Home" is one such narrative.
Very concerned with the social inequality that existed in his era, John Steinbeck, a socialist author, wrote of the disenfranchised in his Depression-era novel, "The Grapes of Wrath." His novella "Of Mice and Men" also considers the isolation and futility of "the American Dream."
Other novelists wrote with the express purpose of effecting social change in their time period. For instance, Upton Sinclair's "The Jungle" exposed the horrific conditions of the Chicago stockyard workers, while Harriet Beecher Stowe's "Uncle Tom's Cabin" brought attention to the evils of slavery.
Of course, many of the European writers expressed political or social opinion in their literary works. In France, Moliere satirizes the aristocracies hypocrisy and affectations in his sixteenth-century plays while others such as Voltaire ridiculed popular theories such as the optimism of the Enlightenment in his work, "Candide."
In a similar fashion, art, too, reflects its time period. For example, after the invention of the camera, artists, particularly the Impressionists in France began to use a perspective in their paintings that mirrors that of the camera viewfinder. Edgar Degas's paintings of ballet dancers often have the painting off center, or the painting is foreshortened as a photograph. That is, the perspective is distorted as in a photo: perhaps an arm appears shorter than it would if a person were looking at it, or the foreground of the picture is disproportionately larger than it should be.
Earlier art may reflect the influence of war, famine, etc. Certainly, Michaelangelo's paintings portray the tremendous impact of the power of the Catholic Church in Italy.
In America the drug culture of the sixties had a definite influence upon the beaux arts from abstract and psychedelic art to Andy Warhol's "Campbell Soup Can." Indeed, there is a clear interrelationship among the arts and their historical background. Shirley Dent said, "One of literature's greatest strengths is its ability to take us inside the subjective experience of history."