OECD has data [https://data.oecd.org] that goes back to 1995 and provides government debt and household debt. The world bank also has data [http://databank.worldbank.org/data//reports.aspx?source=2&country=&series=GC.DOD.TOTL.CN&period= go] this database goes back to the 1960s in some circumstances.
There is an interesting recent database (May 2015) of Bank of Canada - CRAG on sovereign defaults that has a lot of data regarding debt. Maybe it'll be helpful.