I enjoyed Margaret George's novels, The Autobiography of Henry VIII (1986), Mary Queen of Scotland and the Isles (1992), The Memoirs of Cleopatra (1997), Mary, Called Magdalene (2002), Helen of Troy (2006), Elizabeth I (2011), The Confessions of Young Nero (2017), and The Splendor Before the Dark (2018) (although I've only read up to Helen of Troy).
It's not quite historical, but i also quite liked The Song of Achilles.