From The Adventure of the Noble Bachelor in The Adventures of Sherlock Holmes:
…..“I think that I shall have a whisky and soda and a cigar after all this cross-questioning. I had formed my conclusions as to the case before our client came into the room.”
“My dear Holmes!”
“I have notes of several similar cases, though none, as I remarked before, which were quite as prompt. My whole examination served to turn my conjecture into a certainty. Circumstantial evidence is occasionally very convincing, as when you find a trout in the milk, to quote Thoreau’s example.”
The Thoreau reference is to an entry from his Journals dated Nov. 11 of 1850:
Some circumstantial evidence is very strong, as when you find a trout in the milk.
In its original context the comment is a complete non-sequitur – sandwiched between remarks on his evening walk and an observation on appreciating the land – but the reference seems to be to the practice of watering down milk to squeeze out some extra profit. This would be hard to prove generally but if the farmer was so unobservant as to let a fish slip in – presumably while using water drawn from a stream – then you’d of course have a stronger case.