USAID’s Southern Africa Trade Hub is an excellent source of data and information. The overall goal of the USAID Southern Africa Trade Hub (SATH), which began in September 2010, is to increase international competitiveness, intra-regional trade, and food security in the Southern African Development Community (SADC) region. SATH delivers targeted technical assistance to governments, the private sector, and civil society organizations in support of advancing regional integration and increasing the trade capacity of selected value chains within Southern Africa. The project has a contract ceiling of US$82 million and will run for 5 years (a four year base period with the option to extend for one year). SATH recently rolled out Investor Roadmap Lesotho which can be found on their website here.
The Central Bank of Lesotho is one of the best sources of domestic economic data in Lesotho
The Lesotho Bureau of Statistics provides a broader statistical portrait of Lesotho