The term 'blue book' is used broadly for all Parliamentary papers, i.e., all papers published by Government and presented to Parliament.
The annual Blue books of the Colonies were key publications. The annual Cape of Good Hope blue book was published from 1821 to 1885. It contained tables of information, the civil establishment, public finance and, from 1858, reports of the civil commissioners of districts. We have copies of 1840-1842, 1844-1850, 1852-1885 in print @ G 682 A1 and 1821-1840 & 1851-1852 in microfilm @ GZA 682 A.STAT.81.GOVE.
From 1886 the civil establishment information was published in the Civil service list and the Blue book became the Statistical Register. We have copies of 1886 to 1909 @ G 682 A1. The Hathi Trust Digital Library has 1886-1894 in full.
The British Online Archives provides subscription access to the African Blue Books, 1821-1953, which includes the Cape of Good Hope blue books from 1821 to 1885 and its successor, the Statistical register, from 1886 to 1909.
The Blue book on Native Affairs was an annual report published from 1874 to 1909. We have some individual copies @ G 682 ED(NATI). The Blue books are also included in the bound volumes of Annexures and Appendices.