Wuthering Heights as well. The Bronte’s weren’t writing Science Fiction.
The Raven or any movie about Edgar Allan Poe.
Or any movie adaptations of his stories, any major one except “The Pit and the Pendulum” is generally thought to be contemporary to his lifetime.
Technically, they’re not what are considered costume dramas".
The Costumer’s Guide has a good list. It looks like this site might help too.
Amistad springs to mind. The miniseries Shaka Zulu, any of the movies or series based on Moby Dick, Jeremiah Johnson, 'The Last Confession of Alexander Pearce… tons of movies. 
Queen of Spades, also by Pushkin, was a short story made into several movies, set in the 1830’s. And yes, they wore costumes.
Judy Davis, achieving stardom with My Brilliant Career, went on to make a film
about the life of George Eliot. I think it was more of a comedy than a drama. It was released in the art house circuit.
This was a fantastic series. It was a BBC series, if I recall. Rufus Sewell’s breakthrough piece.
I don’t know if it’s considered a drama, per se, it’s mostly comedy, but I love the 1940 film of Pride and Prejudice with Greer Garson so much, I just have to mention it. The book was written in 1813 but the movie was set 30 or more years later, because the fashions of the later time were much more fussy and flamboyant (and looked better on screen) than those fashions in the original time period.
Poldark (from the 70’s) began in the late 1700’s, in Cornwall, but it went on for so long that by the end of the TV series it may have progressed to 1816! The books went on for years and years and years.
Not just Pride and Prejudice, but Jane Austen’s five other novels were all written and published between 1811 and 1818, and can be considered contemporary to that period. So depending on how persnickety the OP wants to be about the lower end of his range, he could count all six or just the last three, *Emma, Northanger Abbey, * and Persuasion, which were published in or after 1816.
*P & P, Sense and Sensibility, *and Emma are her best, IMHO.
n.m.
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Another much-adapted story from that era is The Count of Monte Cristo (which doesn’t involve real historical figures, of course).
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Sorry to reanimate this, but… In the first chapter of TCoMC, Edmond Dantes tells M. Morrel that he (Dantes) spoke with “the Emperor”, i.e., Napoleon, on the island of Elba:
“Your pardon, M. Morrel,” said Dantes, approaching, “the vessel now rides at anchor, and I am at your service. You hailed me, I think?”…
“I wished to inquire why you stopped at the Island of Elba?”
“I do not know, sir; it was to fulfil the last instructions of Captain Leclere, who, when dying, gave me a packet for Marshal Bertrand.”
“Then did you see him, Edmond?”
“Who?”
“The marshal.”
“Yes.”
Morrel looked around him, and then, drawing Dantes on one side, he said suddenly–“And how is the emperor?”
“Very well, as far as I could judge from the sight of him.”
“You saw the emperor, then?”
“He entered the marshal’s apartment while I was there.”
“And you spoke to him?”
“Why, it was he who spoke to me, sir,” said Dantes, with a smile.
Django Unchained
It counts because of that blue suit.
Seven Brides For Seven Brothers was set in 1850, although I guess it’s a romance rather than a drama.
Gangs of New York is set in 63 but flashes back to that era and deals with those issues in general.
The Scarlett Pimpernel, in its various incarnations, seems to qualify.
You may be interested in this thread: The best movie set in every year… but not made in that year.. Moonchild & Co. have been working on it industriously.
I’m fond of “Our American Cousin” – the play that Abraham Lincoln saw only part of. It’s a delightful little comedy of manners.
I don’t know if it counts as a “costume drama,” but, of course, it would be a costumed performance.
And just to provide the movies from the period in question:
There are many more from that general time period that are not included because they can’t be pinned down to a specific year.
There is the movie Flashman, which I have never seen, but I have read the novel that inspired it. The novel is great and most of the action occurs around 1841. I don’t know that it would really qualify as a costume drama, though.