The oldest book I found specifically on the Pony Express was ©1908. There are many articles and references to the Pony Express in publications dating much earlier to it. And if you're like me, you learned a little about the Pony Express in school. And I'm certain there are many tales that were true and untrue at the time, especially with William F. Cody having been a rider.
Google books has a copy of "A Thrilling and Truthful History of the Pony Express" ©1908 by William Lightfoot Visscher.
The roots of the express started in the 1850's but developed in the Apr 1860 to what we know now as the Pony Express. There were 184 stations placed at 10 mile intervals and covered 2,000 miles. Ten miles being the max length a horse could travel at full gallop. The rider would exchange horses and only take the pouch or mailbag with him. The bag was called Mochila basically Spanish for backpack or pouch. You can read a good overview at Wikipedia for more details.
There's a lot of romance and folklore concerning these riders. They are fun to explore and think of ways to creatively use them in a story.