The Hornby Book of Trains combined a book on trains with a catalogue, the latter listing prices and models relating to the range of Hornby ‘O’ gauge trains. The first book appeared in 1925 and the last in 1939/40. Triang, Triang-Hornby and Hornby, later, added more advertising literature on model railways. When one considers that artists such as Bryan de Grineau (early) and Terence Cuneo (later) were among the artists used for the covers of such publications, it is no surprise that some of the cover artwork has been used for jigsaw puzzles.
The second jigsaw shown, reproduces the artwork on the cover of the 1927-28 book, but the artist is not known to me. If you know the artist's name, please inform me and I will add it to this post. The locomotive is Charles Collett's ‘Castle’ class 4-6-0, No.4086 Builth Castle; the full jigsaw title is, simply, No.4086 Builth Castle.
These publications - part book and part catalogue - include other illustrations/paintings that would make excellent jigsaws to complement the two above. The 'HBoT' range is easily accessed on the Internet.