The Anglican parish registers date from 1538 (Some sources give 1672).
There is a great deal of material about Brocklesby held in the records of the Lincolnshire Archives. They put out a useful CD, which apart from a listing of Wills (some of which are for residents of Brocklesby), includes contents of the Foster library. The CD references this item in the Archives: CW Foster "Parish Register of Brocklesby 1538-1837". [Antony Barber]
The Lincolnshire FHS has published several marriage indexes and a burial index for the Yarborough Deanery to make your search easier.
Brocklesby is a village and a parish about 7 miles north of Caistor and 10 miles west of Grimsby. The parish includes the hamlets of Little Limber, Newsham and Nun Cotham. The parish covers over 3,930 acres.