This is Deja Bru's helpful process from OOTP13 - believe it still holds true. I tweaked it a little for 16. You could also start a random debut league, which uses players from all eras but who are introduced randomly each year.
Procedure:
In Manager Options, go into Commissioner Mode.
In League Menu, select Player Info - Free Agents.
Choose Import Historical Players from the Available Actions.
Use navigation buttons to find your game folder (this is where many people get lost - the first thing you see is your program folder but you need to go where the game stores your league files; for example, C:\Users\[your name]\Documents\Out of the Park Developments\OOTP Baseball 13).
Find the stats folder and open it (see the first screen print).
Select either Master.csv or historical_database.odb and click Confirm.
Enter the Historical Player ID in the top box (look them up at
www.baseball-reference.com; the code is embedded in the player page URL, for example, www, baseball-reference.com/players/r/
ruthba01.shtml).
Choose the desired options, most importantly which year of the player's career that you wish to import as to stats and ratings (see the second screen print).
Click Import Player.
After it loads the player, you will find him in your Free Agents pool (see the third screen print).