I have a running list of our most favorite picture books with strong, creative, dimensional female protagonists, and people have been asking me to share it. This is not exhaustive of all books with female protagonists, but there are far, far fewer than with male protagonists, so good ones are hard to find. These are personal faves, please don't be offended if things you love aren't on my list. Happy to take suggestions though!
Ruby's Sleepover by Kathryn White
The Gardener, by Sarah Stewart
Minette's Feast, by Susanna Reich
The Princess in Black books, by Shannon Hale (there are now 4 of these, and they're sort of picture/chapter).
Interstellar Cinderella, by Deborah Underwood
Violet the Pilot, by Steve Breen
The Dot, by Peter H. Reynolds
The Princess and the Pony by Kate Beaton
Three Cheers for Catherine the Great, by Cari Best (Not about the empress. Also, illustrator is Giselle Potter, one of my favorites).
The Queen of France, Tim Wadham (also not about a historical person)
Everyday Dressup, Selina Alko
The Brave Little Seamstress, Mary Pope Osborne
Red Knit Cap Girl to the Rescue, Naoko Stoop
The Whisper, by Pamela Zagarenski
One Grain of Rice, Demi
Annie and the Wild Animials, by Jan Brett
I Am Jane Goodall, Brad Meltzer
I Am Amelia Earhart, Brad Meltzer
I Am Rosa Parks, Brad Meltzer
Emeraldilicious (but NOT any of the other [color]ilicious books), Victoria Kann
You Can Be My Friend, Lauren Child (Charlie & Lola--note, I like the other ones by Child herself too, the ones that are just based on TV episodes are hit and miss).