For orienting a play in history, sometimes you don't need a really deep source, and reference sources are a great option here (particularly when you are starting out!). Here are some good ones that will introduce you to the time period of your play. From here you can dig deeper into the particular events or issues that seem most relevant to the play.
Drama for Students is a 30 volume encylopedia Van Wylen has as a part of its eReference collection. It contains essays on over 550 plays and provides summaries and analysis of themes and historical context, as well as bibliographies of additional resources. The easiest way to see if it contains the play you are researching is to do an Advanced Search in Gale Virtual Reference. Enter the play or playwrite in the first search box and "Drama for Students" in the second, and change the dropdown to "Publication Title."
Here is a list of pre-1700 plays that are included in Drama for Students.
This titles are located in the print reference section, on the 1st floor of Van Wylen. These titles are good for getting oriented to a writer or theatre in a specific country, or for selecting a play to work with.
Because of Shakespeare's dominance in the history of theatre, we have A LOT of reference materials about his works. They are all located in the PR2800s and 2900s of the reference section, so definitely explore there some if you want to write about him. Here are the two titles I mentioned in class.
Theatre and literature reference anthologies are collections of articles, usually centered around a specific author and occasionally a work. They collect together groups of new or previously published materials in one conventient location. Hope has significant collections of these both in print and electronically.