Comics in the 1930s and 40s skirted heroic fantasy, their characters usually tied to fairy tales and garbled history more than Pulp literature. The biggest influence was Hal Foster’s Prince Valiant (1937-1971). This Arthurian historical comic featured eye-popping artwork and no word balloons. The look and content influenced everyone who came after, even when the artist was of poor quality. Prince Valiant itself was not really a Fantasy though it did feature a couple of outre characters. (One of the collected segments is called “Sword and Sorcery”.) The Prince encounters a dinosaur in a swamp and there is a villain who is a witch.
“Round Table Adventures” in Star Comics (1937-1938) was one of the first Prince Valiant knock-offs. Unfortunately we don’t know any of the writers but art was provided by Rafael Astarita . Rather than a prince being the hero it is the jester, Alanakay, who tells heroic tales of his doing. Usually two pages, the little jester defeats evil goblins by delaying them until sunrise, jousting knights by hitting them from a tree branch, an evil pirate by pushing him off a wall, a giant by using a magic spell to disappear his horse, another pirate by using a lens to set his sails on fire, gains a magic sword by showing kindness, and faces off with the king of the dragons. By issue #11 the story is told in verse.
“The Golden Knight” in Fantastic Comics (1939-1941) was written by Toni Blum and drawn by Grieg Chapian. Like many fantastic characters the Golden Knight would be replaced by superheroes. Before that happened the author tried a Science Fiction angle, taking the knight to the Moon and the planet Zuturn. The strip received one fiction story by N. N. Nathaniel, “The Rescue of Lady Rowena”.
Fairy Tale Parade (1941-1944) was an uneven comic with some heroic pieces next to sacchrine bits taken from fairy stories and Arabian Nights adventures. The best ones were drawn by Walt Kelly who would later draw Pogo.
“The Return of Robin Hood” in Popular Comics #79-84 (1943) was inspired by The Adventures of Robin Hood (1938) with Errol Flynn. Unlike most Robin Hood comics, this one had magic in it. It was written by Gaylord Du Bois with artwork by Jon Small and Arthur Jameson under the pseudonym R. S. Calendar.
Classic Illustrated: The Arabian Nights (1943) retold four classic tales from Persian and Arab folklore including Sinbad the Sailor. The art by Lillian Chesney is unusual and better than most Gilberton comics.
“The Silver Knight” appeared in various Standard comics (1944-1948) like America’s Best Comics and Wonder Comics. Perhaps the most like Prince Valiant, the Silver Knight, Briane, had to protect the realm from Saxons and evil knights. Stories were written by Leo Isaacs and drawn by Ken Battlefield, Everett Kinstler and Frank Frazetta.
Classic Illustrated: Knights of the Round Table came later (June 1953). The adapter is not known though the work is based on Thomas Malory. The artist was Alex Blum. Classics Illustrated Junior also featured many folktales and Fantasy stories such as John Ruskin’s “The King of the Golden River” but the artwork is usually cute or dull.
There were comics that followed these in the 1940s but I prefer to look at them individually. Comics like “Malu the Slave Girl” , “Crom the Barbarian” and “La Reina de la Costa Negra” deserve their own pieces, being the first truly important Sword & Sorcery comics. This should give you a brief idea of what was available before true Sword & Sorcery comics made their way onto the scene.