Among the most celebrated of such documents, Rowlandson's account of her captivity by the Narragansett Indians in 1676 details her hardships and suffering, but also includes invaluable observations on Native American life. Also included are 3 other famous narratives of captivity among the Delawares, the Iroquois, and the Indians of the Allegheny. Republication of the New York, 1915 edition.
Here's a sample of other books in this Dover category
Captured by the Indians: 15 Firsthand Accounts, 1750–1870 by Frederick Drimmer Astounding eyewitness accounts of Indian captivity by people who lived to tell the tale. Fifteen true adventures recount suffering and torture, bloody massacres, relentless pursuits, miraculous escapes, and adoption into Indian tribes.