1. Myles Keogh: The Life and Legend of an 'Irish Dragoon' in the Seventh Cavalry -- ed. John P. Langellier, Kurt Hamilton Cox, and Brian Pohanka
A symposium of scholarly essays on all aspects of Keogh's life and legacy. The definitive source-book for all students of Keogh.
2. The Honor of Arms -- Charles L. Convis
The only modern narrative biography. Its great strength: lengthy excerpts from many of Keogh's letters, giving the authentic "voice" of the man.
3. His Very Silence Speaks -- Elizabeth Atwood Lawrence
Principally a study of Comanche, and of the cavalry horse in general; but it contains much good information on Keogh too.
4. Captain Myles Walter Keogh, United States Army, 1840-1876 -- G.A. Hayes-McCoy
The text of a lecture given in 1965. Long out of print; now fortunately republished. Focuses mainly on Keogh's army service.
5. Keogh, Comanche and Custer -- Edward S. Luce
Very rare. First published in 1939. Slightly fanciful in places; but as Luce was able to draw upon the memories of people who had known Keogh personally, it stands as a landmark of Keoghiana.
Books about Keogh's horse, Comanche, are legion. Here are two, both fiction and intended for children, that nonetheless feature very credible portraits of the famous horse's rider:
Comanche of the Seventh -- Margaret C. Leighton
So convincing is this book that some non-fiction writers have been known to cite it as a factual source. While one would not go that far, it is a delightful read.
Comanche: The Story of America's Most Heroic Horse -- David Appel
Dripping with inaccuracies, and endowing Comanche with a melodramatic back-story (the basis of the classic Disney film Tonka), this book still somehow gets Keogh remarkably right.