Assuming that you mean recordings of traditional rather than revival singers, there seem to be very few. Two are currently listed in the Roud Folk Song Index:

Library of Congress AFS L57: Child Ballads Traditional in the United States: Aunt Molly Jackson, Clay County, Kentucky, 1939. Dives and Lazarus.

Folktracks FSA 129: Blow the Windy Morning: Emily Bishop, Bromsberrow Heath, Herefordshire, 1952. Divers and Lazarus.

I don't know whether or not you can still get Library of Congress records, but for what it's worth the sleevenotes can be seen online: Child Ballads Traditional in the United States: Dives and Lazarus

I think that the Bishop set also appeared on The Folk Songs of Britain, Vol. 9. Songs of Ceremony (Topic Records in the UK, Caedmon in the USA), but that is long out of print. You can get copies of material that Peter Kennedy recorded in the '50s from his Folktrax label; sometimes the compilations have been given different titles since those listed by Roud. Emily Bishop's set appears on two:

FTX 129: COUNTRY SONGS & CAROLS: EMILY BISHOP OF BROMSBERROW

FTX 504: THE BITTER WITHY: EARLY FOLK CAROLS