Percy Grainger's original recording of 'Horkstow Grange', sung by George Gouldthorpe, was on the Leader LP, 'Unto Brigg Fair - Joseph Taylor and other traditional Lincolnshire singers recorded in 1908 by Percy Grainger' LEA 4050, 1972. This is an amazing record which should be essential listening for anyone interested in traditional song. The extensive notes, by Bob Thomson, are very interesting and enlightening.
Unfortunately the LP is long 'out of print' (if that is the correct term?!). I don't suppose there is any prospect of it coming out on CD - but we live in hope!