The Annual Reports of the Commissioner of Indian Affairs were published from 1825-1960?. The titles varied over the years so that can be tricky to find. Here at KU we have electronic access for the reports from 1825-???? in the United States Congressional Serial Set and print volumes from 18??-19?? shelved at SuDoc I 20.1:(year).
To easily locate the report from 1825-1920 see the list provided in the article:
J.A. Jones, Key to the Annual Reports of the United States Commissioner of Indian Affairs, Ethnohistory, vol. 2, no. 1 (Winter, 1955), pp. 58-64.