In 1977, the exhibition The Record as Artwork: From Futurism to Conceptual Art featured Germano Celant's collection of vinyl records produced by artists. (Celant is more famous for coining the term Arte Povera.) The exhibition catalogue includes black-and-white photos of 100 artists' records, and notes that this is "a whole area of artistic exploration that has not yet been sufficiently documented."
The subject was finally "sufficiently documented" by Visual Vinyl, a 2015 exhibition of records from the collection of Jan van Toorn. The catalogue of that exhibition, published last year, explores the intersection of records and visual art: album covers designed by artists, and artists' records. It features examples from the 1950s onwards, including early Dada and Fluxus records.
The book claims that "Visual Vinyl provides the first comprehensive overview of so-called "artists' covers" - record jackets with ground-breaking designs by contemporary artists." That's not strictly true, because the more comprehensive Art Record Covers was published first, but Visual Vinyl is unique because it also includes images of the records themselves (pictures discs and illustrated labels), box sets, and inserts.
The first illustrated album covers were designed by Alex Steinweiss in the 1940s. Richard Evans' book The Art of the Album Cover covers sleeve design from Steinweiss onwards. Nick de Ville's Album: Classic Sleeve Designs is the most comprehensive guide to the history of album covers.