Published before any of the teaching anthologies or academic overviews, The Mirror of Infinity, subtitled "A Critics' Anthology of Science Fiction", was the first book to combine stories with critical analysis. Each story is prefaced by a ~3-5 page critical essay; critics include Jack Williamson, James Blish, Damon Knight, Kingsley Amis, Alexei Pansion, and Brian W. Aldiss.
Page numbers here are taken from the 1973 paperback edition.
“The Star”,
H. G. Wells
(The Graphic Christmas 1897)