With the purchase of ARC in 1939 by CBS, the corporation re-organized its record labels under the aegis of Columbia as the parent company.

Records credited to Wilson were released on Brunswick those to Holiday on Vocalion. The labels Brunswick Records and Vocalion Records became fellow companies to Columbia when it was purchased in 1934 by the American Record Corporation, which had owned Brunswick and Vocalion since late 1931. With a few exceptions, these records were originally released on labels other than Columbia which catered to an African American market, then referred to as race records. From July 2, 1935, through August 7, 1941, Holiday would regularly record, for commercial issue, 78s credited to herself or to Wilson. A little more than 19 months later, Holiday would be in another New York studio for her second session in association with Goodman again, as well as Ben Webster and Cozy Cole, under the leadership of Teddy Wilson. In the company of Jack Teagarden, Gene Krupa, and Hammond's future brother-in-law Benny Goodman, the two sides with Holiday would be released under Goodman's name. John Hammond, who had discovered Holiday singing in a Harlem jazz club in 1933, arranged for her first recording session that same year on November 27.

Initially, these records featuring Billie Holiday were made with that market in mind. During the Great Depression, record sales for domestic use dramatically decrease, but a viable market remained for the playing of records in jukeboxes. Recorded music had arrived a few decades earlier in the form of a 10-inch gramophone record playing at 78 revolutions per minute, two songs of around three-and-a-half minute duration per side. These recordings were made in a time before the LP album, introduced by Columbia Records in 1948. At the 44th Grammy Awards on February 27, 2002, the box set won the Grammy Award for Best Historical Album of the previous year. King, Abbey Lincoln, Jill Scott, and Lucinda Williams. Designed like an album of 78s, the medium in which these recordings initially appeared, the 10.5' × 12' box includes 230 tracks, a 116-page booklet with extensive photos, a song list, discography, essays by Michael Brooks, Gary Giddins, and Farah Jasmine Griffin, and an insert of appreciations for Holiday from a diversity of figures including Tony Bennett, Elvis Costello, Marianne Faithfull, B.B. Lady Day: The Complete Billie Holiday on Columbia 1933–1944 is a 10-CD box set compiling the complete known studio master recordings, plus alternate takes, of Billie Holiday during the time period indicated, released in 2001 on Columbia/Legacy, CXK 85470. Lady Day: The Complete Billie Holiday on Columbia 1933–1944

Lady day sings the blues