The archives of the International Committee of the Red Cross (ICRC) contain extensive data and personal records collected during the ICRC's humanitarian mission during World War I and II.
The personal files collected during World War I have been digitized and can be accessed online at https://grandeguerre.icrc.org/
If you are looking for information about individuals - military or civilian - who were captured during World War II you can request information here: https://www.icrc.org/en/who-we-are/history/second-world-war