In this article, I will discuss a collective research project that I designed for my History of Mathematics course. My students, who are by and large pre-service teachers, explored online, digital versions of 18th-century British almanacs that contained question-and-answer sections for mathematics. In a multi-stage research process, they explored the primary sources, investigated selected mathematical problems from the almanacs, conducted prosopographies of the contributors to the almanacs, and finally surveyed secondary sources. They then presented their results in pairs to their classmates. Through these presentations, as well as the prosopographies and notes they shared on our online classroom management system, the working pairs of students wrote research papers that placed their findings within the context of the research of the whole class. This collective research project allowed my students to begin focused and purposeful research within the first week of classes. Moreover, this project encouraged them to become highly engaged with their primary sources and enabled them to work as a team. This collective research project framework could be applied to a variety of groups of primary sources from the history of mathematics (such as textbooks and journals), now widely available online, to a variety of mathematics courses.