His first film, Four Days' Wonder (1937), was adapted from an A.A. Milne story about a teenager who takes flight when she fears she will be implicated in the death of her aunt. Salkow's direction was praised for capturing the whimsical flavour of the book and coaxing a convincing performance from Jeanne Dante in the main role (although the young star made no further films).

Salkow directed three other 1937 releases including the murder mystery Girl Overboard, which had an impressive cast headed by Gloria Stuart, Sidney Blackmer and Walter Pidgeon. The restless Salkow next moved to Republic, where his films included a newspaper thriller, The Night Hawk (1938), a heavy drama of love and self-sacrifice, The Zero Hour (1939) and a horse-racing tale, Fighting Thoroughbreds (1939). He began his tenure at Columbia with Cafe Hostess (1940), starring Ann Dvorak as the title character, saved by a brave sailor (Preston Foster) from life in a night-club run by gangsters.

This was followed by Salkow's first film featuring the reformed thief turned gentleman detective the Lone Wolf. In 1926 Columbia had bought the rights to the character, created by the writer Louis Joseph Vance in 1914, and had occasionally produced a Lone Wolf movie, but it was not until the success of The Lone Wolf Spy Hunt in 1939 that they felt they had found the right approach and the right actor (Warren William) to embark on a series.