I'm not sure why you describe Basil Zaharoff as a "mysterious figure". A number of biographies have been written about him (some of these are listed under Further Reading on his Wikipedia page), and there is quite a lot of material about his life held in various archives.
A "Good" Book
The problem with asking for a "good book" is that "good" is a highly subjective term.
However, one text that is "good", in the sense that it was written while its subject was still alive, includes material gathered from interviews with people who knew him, and which actually lists the sources used, is Zaharoff the Armaments King by Robert Neumann.
A further advantage of this text is that it has been made freely available online by archive.org.
In terms of historical documents, there are a great many available in archives, but relatively few of these have been scanned and made available online. (This is nothing unusual. Only a tiny fraction of the documents held in the world's archives are actually available online).
Here in the UK, if you type Basil Zaharoff as a search term in the search field of the UK National Archives' Discovery catalogue, you get 17 hits, including his correspondence with Lloyd George.
[In fact, Basil Zaharoff was even the subject of a blog post on the National archives blog in December 2015.]
Similarly, typing his name as the search term into the JANUS Catalogue reveals 31 results for records held by the various colleges of Cambridge University.
The French National Library (Bibliothèque Nationale de France) also holds records about the life of Zaharoff, including his correspondence with Georges Clemenceau.
His correspondence with Woodrow Wilson would be held at the Woodrow Wilson Presidential Library and Museum, although it isn't listed among their digital collections and they do not appear to have an online catalogue of their full collection.
Undoubtedly, a Google search for "Basil Zaharoff" archives will lead you to many more.
In most cases, you would almost certainly need to visit the archives in person, or employ someone to visit on your behalf, to access these records.