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.
Three Hornby Book of Trains’ titles of
1937-1940 used artwork by de Grineau on
the front cover - No.6201 Princess Elizabeth (1937-38); No.6005 King George II (1938-39) and No.6231 Duchess of Atholl (1939-40). The
paintings are superb and the artwork in the first example, William Stanier's ‘Princess’
class 4-6-2, No.6201 Princess Elizabeth,
has recently been marketed as this 1000-piece jigsaw puzzle by The Works, high
street store. The full jigsaw title is LMS Princess Royal Class "Princess Elizabeth". It is sold as one of a pair of puzzles based on front covers
of the book. 
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.