This 1926 volume is the closest we have to an autobiography by James, although this is obviously focused solely on his time at Eton College and King’s College, both in his capacity as a student of each, and later provost of both institutions. Nevertheless, this does therefore cover the bulk of his life. This series of anecdotes is both charming and fascinating (and sometimes highly amusing). A favourite for me has to be the description of the pursuit of “roof-climbing” at Eton, part of which apparently consisted of dropping a brick down a chimney into a lit fireplace, then casually strolling into the room of the victim to observe the carnage. Highly recommended (the book, that is!).
There is a useful index to Eton and King’s available on the Ghosts and Scholars site here.
Eton and King’s: Recollections, Mostly Trivial, 1875-1925 
Front cover 
Title page and photograph of M. R. James at Eton
Antiquarian Ghosts 