This page provides two excel files with historical exchange and interest rates during the classical gold standard. The data are at the weekly frequency.
The main source is: Neal, Larry, and Marc D. Weidenmier (2003), Crises in the Global Economy from Tulips to Today: Contagion and Consequences. NBER Volume Globalization in Historical Perspective.
The data are also used in: Herger, Nils (2018), ‘Interest-parity conditions during the era of the classical gold standard (1880 -1914) – Evidence from the investment demand for bills of exchange in Europe’, Swiss Journal of Economics and Statistics 154:9, 1-12.