Nathaniel Adams Coles was born in Montgomery, Alabama, on March 17, 1919. He had three brothers: Eddie (1910–1970), Ike (1927–2001), and Freddy (b. 1931), and a half-sister, Joyce Coles. Each of the Cole brothers pursued careers in music. When Nat King Cole was four years old, the family moved to Chicago, Illinois, where his father, Edward Coles, became a Baptist minister.
Cole learned to play the organ from his mother, Perlina Coles, the church organist. His first performance was "Yes! We Have No Bananas" at the age of four. He began formal lessons at 12, learning jazz, gospel, and classical music on piano "from Johann Sebastian Bach to Sergei Rachmaninoff."
The Cole family moved to the Bronzeville neighborhood of Chicago, where he attended Wendell Phillips Academy High School, the school Sam Cooke attended a few years later. He participated in Walter Dyett's music program at DuSable High School. He would sneak out of the house to visit clubs, sitting outside to hear Louis Armstrong, Earl Hines, and Jimmie Noone.
When he was fifteen, Cole dropped out of high school to pursue a music career. After his brother Eddie, a bassist, came home from touring with Noble Sissle, they formed a sextet and recorded two singles for Decca in 1936 as Eddie Cole's Swingsters. They performed in a revival of the musical Shuffle Along. Nat Cole went on tour with the musical. In 1937, he married Nadine Robinson, who was a member of the cast. After the show ended in Los Angeles, Cole and Nadine settled there while he looked for work. He led his own big band, then found work playing piano in nightclubs. When a club owner asked him to form a band, he hired bassist Wesley Prince and guitarist Oscar Moore. They called themselves the King Cole Swingsters after the nursery rhyme in which "Old King Cole was a merry old soul." They changed their name to the King Cole Trio before making radio transcriptions and recording for small labels.
Cole recorded "Sweet Lorraine" in 1940, and it became his first hit. According to legend, his career as a vocalist started when a drunken bar patron demanded that he sing the song. Cole said that this fabricated story sounded good, so he didn't argue with it. In fact there was a customer one night who demanded that he sing, but because it was a song Cole didn't know, he sang "Sweet Lorraine" instead. As people heard Cole's vocal talent, they requested more vocal songs, and he obliged.
In 1941 the trio recorded "That Ain't Right" for Decca, followed the next year by "All for You" for Excelsior Records. They also recorded "I'm Lost", a song written by Otis René, the owner of Excelsior.
During the late 1930s the trio recorded radio transcriptions for Capitol. They performed on the radio programs Swing Soiree, Old Gold, The Chesterfield Supper Club, Kraft Music Hall, and The Orson Welles Almanac.