Professor Finds the Art in Both Numbers and Letters -- a New York Times interview with Manil Suri, mathematician and novelist. I believe a copy of his first novel, The Death of Vishnu, is somewhere in my parents' basement; I remember enjoying it.
Another mathematician-novelist is Jordan Ellenberg, who has a blog.
Perhaps relevant here is Alex Kasman's mathematical fiction webpage, although this is a list of fiction about mathematics or mathematicians, not by mathematicians. Did you know Tolstoy wrote in War and Peace about history as the integral of the actions of individuals. (I didn't, because I haven't read War and Peace, because it's Really Long.)
On a related note, Ellenberg's blog is, as of right now, a year plus two days old. Mine is a year minus two days.