This phrase, often associated with Thatcher, derives from an interview with Brian Walden on Weekend World (16 January, 1983) http://www.margaretthatcher.org/speeches/displaydocument.asp?docid=105087. However, it is Brian Walden who says, in summarising Margaret Thatcher, "you've really outlined an approval of what I would call Victorian values".
From a speech to the Glasgow Chamber of Commerce (January 28, 1983) http://www.margaretthatcher.org/document/105244
Thatcher also gave the following quote a few weeks later : I was brought up by a Victorian grandmother. You were taught to work jolly hard, you were taught to improve yourself, you were taught self-reliance, you were taught to live within your income, you were taught that cleanliness was next to godliness. You were taught self-respect, you were taught always to give a hand to your neighbour, you were taught tremendous pride in your country, you were taught to be a good member of your community. All of these things are Victorian values. [...] They are also perennial values as well.
Radio Interview for IRN programme ‘The Decision Makers’ (April 15, 1983) http://www.margaretthatcher.org/document/105291 ; conducted by Peter Allen
Source: Disputed, P.M. Thatcher made this observation shortly thereafter : The other day I appeared on a certain television programme. And I was asked whether I was trying to restore ‘Victorian values.’ I said straight out, yes I was. And I am. And if you ask me whether I believe in the puritan work ethic, I’ll give you an equally straight answer to that too.