First recorded by Walter Van Brunt (US #9 1915).
Other hit versions by Gene Austin (US #3 1928), Teddy Wilson & His Orchestra (US #6 1936), Bing Crosby (US #14 1939), Sam Donahue & His Orchestra (US #5 1945), Tommy Edwards (US #26/R&B #27/UK #29 1959).
From the wiki: “‘Melancholy Baby’ was written by Ernie Burnett with lyrics by his wife, Maybelle Watson. First publicly performed (as ‘Melancholy’) in 1912 by William Frawley (‘Fred Mertz’ on I Love Lucy), the song was first recorded in 1915 by Walter Van Brunt, Thomas Edison’s favorite tenor. The song title was changed in ‘My Melancholy Baby’ in 1914. The first popular recording was made by Gene Austin in 1928 (Van Brunt’s popularity was based on sheet-music sales). Teddy Wilson’s 1936 recording featured an 18-year Ella Fitzgerald, who was pulled into the session at the last minute when Billie Holiday couldn’t attend the date.
“Songwriter Burnett was seriously wounded in France during World War I. He lost his memory together with his identity dog-tags. While recuperating in hospital, a pianist entertained the patients with popular tunes including ‘Melancholy Baby’. Burnett rose from his sickbed and exclaimed: ‘That’s my song!’