I'm hard at work on my current horror novel, set in Civil War Missouri. This is my third novel and it's a very different experience for me. My previous two (both unpublished, sigh) are fantasy. The dominant culture in the first is loosely based on medieval Spain, and the second is very loosely based on the Seminole. I didn't actually set them in these cultures because I wanted the freedom of making things up.
This new project is different. The action all takes place over the course of a few weeks in 1864, and the fictional characters meet a lot of real people and participate in a lot of real events. I'm keeping it as historically accurate as I can, and it's a real challenge to weave in the fictional narrative.
I've been surprised to find this is no harder than making everything up. The real narrative of history is acting as an inspiration, and the confusion of Missouri's bitter guerrilla war leaves plenty of gray areas I can fill in myself. For example, Bloody Bill Anderson's guerrilla band disappears from history for a week just when I need them to do something fictional.
The biggest challenge of historical fiction is getting the details right. How did people dress? How did they talk? What did they know and how did they feel? Good for me I love research. I even contacted a Civil War reenactor who specializes in old photography because some of my characters get their picture taken and I want the scene to be accurate! While the reader may not know the difference, if you know more than you actually put in the novel your confidence in the subject matter shows.