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Philip Guedalla in his biography of Wellington gives this list books, transcribed by Wellington himself on the occasion of his move from Calcutta to Madras in 1798.

Richardson's Persion Dictionary
Herbelot's Bibliotheque Orientale
Reports Secret and Select Committees
Harlean Miscellany
Oeuvres du Roi de Prusse
Volney's Travels
Howell's Events
Swift's works
Hume's History of England
Smolett's Continuation
Woman of Pleasure
Faublas
Blackstone's Commentaries
Verelst India Affairs
Orme's Indostan
Bolt's India Affairs
Edward's West Indies
Petit Neptune Francois
Locke's works
Paley's works
Graves' regulations
Smith's Wealth of Nations
Raynal's Histoire des Indes
Hastings' Trial
Account of the Siege of Mangalore
War in Asia
Walpole's Answer to Bolingbroke
British India Analysed
Moore's Narrative of Little's Detachment
Sketches of the Hindoos
Manufactures and Commerce of Bengal
Dirom's Narrative last campaign
Plans for British India
Russell's India
Statutes relative to E. India Company
Scott's Deckan
Persian Grammar
Account of 1st June
Memmoir and Map of Indostan
McKenzie's War in Mysore
Proceedings of Committee of Officers at home
Munro's Letters on the last war
Dow's Indostan
Voltaire Fables
Hastings' memoirs
German dictionary
Jones' Persian Grammar
Arabick Grammar
Universal Politician
Hadley's Grammar
Papers on Maroon War
Hadley's Persian Grammar
Savary's letters
Savary Greece
Nadir Shah
Memoirs Marshall Saxe
Abrege Chronologique Histoire de France
Chapman Venereal disease
Transactions in India
McIntosh Vindicae Gallicae
Cambridge's War in India
Caesaris Commentaria
Vansittart's Narrative
Reynell's Marches of the B. Armies
Clarendon's Irish Affairs
Johnson' dictionary
Ainsworth's dictionary
Memoirs Baron de Tott
German Grammar
Gazetteer of France
Loyd's War in Germany
Dundas Quatro
Proceedings of Officers
Map of France
Bengal Army List
Roads of Bengal
Fullarton's India
Scrafton's reflections
Robertson's Historical Disquisition
Dundas Cavalry Tacticks
Dumourier's campaign in Flanders
Pamphlets
Dumourier's life
Histoire d'Hyder Ali
Bernier
Crebillon 2nd volume
Leonora
Royal register
Pamphlets
Allan's views of Hill Forts, &c.
Nouvelle Heloise
Robertson's works