April 29 – In the seventh game of the season, New York Yankeescenter fielder Joe DiMaggio makes a sharp turn while fielding a liner facing the Washington Senators and tears muscles in his right foot. The Yankees lose the game and DiMaggio will miss the next 35 games.
April 30 – Lou Gehrig goes hitless in four at-bats against the Washington Senators and is now hitting just .143 this season. He had just played his 2,130th consecutive major league game. No one knew it would be the very last of his career.
May 2 – New York Yankees first baseman Lou Gehrig voluntarily benches himself "for the good of the team" ending his consecutive-game streak at 2,130. Babe Dahlgren replaces him in the line-up, and goes two-for-five with a home run. The Yankees beat the Detroit Tigers 22–2 behind Red Ruffing.
June 4 – The St. Louis Browns sweep a double header from the Washington Senators to end an eleven-game losing streak. The Browns then go on to lose their next six in a row. The Browns never won more than two games in a row all season.
June 5 – Detroit Tigers pitcher Tommy Bridges holds the New York Yankees to just four hits as the Yankees are shut out for the only time all season, 3–0.
June 28 – The New York Yankees defeat the Philadelphia Athletics 23–2 & 10–0 in a double header. In the first game, the Yankees hit eight home runs, and followed that with five more in the second. Both totals set a Major League record for most home runs in a game as well as their total of fifty-three total bases in a doubleheader.
July 3 – In the St. Louis Cardinals' 5–3 victory over the Chicago Cubs, Johnny Mize goes four-for-four, equaling a National League record four extra-base hits, including a double, triple and two home runs.
July 4 – Lou Gehrigappreciation day is celebrated at Yankee Stadium. Numerous people, including many from other major league teams, came forward to give Gehrig gifts and to shower praise on the dying slugger. The Yankees retired his uniform number (4), becoming the first player in major league history to be afforded that honor. Babe Ruth even showed up and ended their long-standing feud by giving his old teammate a hug. After the presentations, Gehrig approached the microphone, and addressed the crowd:
Fans, for the past two weeks you have been reading about the bad break I got. Yet today I consider myself the luckiest man on the face of this earth. I have been in ballparks for seventeen years and have never received anything but kindness and encouragement from you fans. Look at these grand men. Which of you wouldn't consider it the highlight of his career just to associate with them for even one day? Sure, I'm lucky. Who wouldn't consider it an honor to have known Jacob Ruppert? Also, the builder of baseball's greatest empire, Ed Barrow? To have spent six years with that wonderful little fellow, Miller Huggins? Then to have spent the next nine years with that outstanding leader, that smart student of psychology, the best manager in baseball today, Joe McCarthy? Sure, I'm lucky. When the New York Giants, a team you would give your right arm to beat, and vice versa, sends you a gift – that's something. When everybody down to the groundskeepers and those boys in white coats remember you with trophies – that's something. When you have a wonderful mother-in-law who takes sides with you in squabbles with her own daughter – that's something. When you have a father and a mother who work all their lives so you can have an education and build your body – it's a blessing. When you have a wife who has been a tower of strength and shown more courage than you dreamed existed – that's the finest I know. So I close in saying that I may have had a tough break, but I have an awful lot to live for.
July 8 – The Washington Senators' Mickey Vernon makes his major league debut as a pinch runner in the first game of a double header with the Philadelphia A's. He does not log an at-bat, however, he goes one-for-five in the second game and scores a run.
July 9 – The Philadelphia Phillies defeat the Boston Bees, 3–1, to snap an eleven-game losing streak.
August 5 – The New York Yankees trade Vince DiMaggio to the Cincinnati Reds.
August 6 – Already behind 10–1 to the Detroit Tigers, Boston Red Sox manager Joe Cronin sends Jimmie Foxx to the mound to pitch the ninth inning. He records a perfect 1–2–3 inning.
Red Rolfe of the New York Yankees started a streak of 18 consecutive games in which he scored at least one run. During those games, he scored a total of 30 runs.
With a 5–3 victory over the Pittsburgh Pirates, the St. Louis Cardinals complete a ten-game winning streak. They are still, however, eight games back of the first place Cincinnati Reds. The Reds snap the streak on August 12, however, the Cards take two of their three meetings at Sportsman's Park to move within 6.5 of first place.
August 20 – The Pittsburgh Pirates and Chicago Cubs split a double header at Forbes Field. The victory in the second game snaps a twelve-game losing streak for the Bucs.
August 26 – The double header between the Brooklyn Dodgers and Cincinnati Reds at Ebbets Field is telecast on Channel W2XBS in Brooklyn.
September 13 – Early Wynn loses his major league debut, 4–2 to the Chicago White Sox.
September 18 – The St. Louis Browns lose their 100th game of the season, 6–2 to the New York Yankees.
September 19 – The New York Yankees defeat the Chicago White Sox, 6–2, for their 100th victory of the season.
September 23 – The Brooklyn Dodgers defeat the Philadelphia Phillies 22–4. The Dodgers go on to sweep the Phillies in the four game set at Shibe Park, handing them losses number 100 & 101 on the 24th.
September 29 – The second game of the double header between the Cleveland Indians and Detroit Tigers at Briggs Stadium is called after five innings due to rain. Hal Newhouser pitches all five innings for Detroit, and is the losing pitcher in his major league debut.
September 30 – In the second game of a double header with the Chicago Cubs, St. Louis Cardinals pitcher Murry Dickson makes his major league debut. He pitches 3.2 without giving up a run, and strikes out in his only at-bat.
October 4 – Bill Dickey's single in the bottom of the ninth wins game one of the 1939 World Series for the New York Yankees, 2–1. This is the first World Series appearance for the Cincinnati Reds in 20 years.
October 5 – Monte Pearson holds the Cincinnati Reds to just two hits, as the Yankees take game two of the World Series, 4–0.
October 7 – The Reds take a 3–2 lead in the second inning only to have Joe DiMaggio hit a two run home run in the top of the third to put the Yankees on top for good on their way to a 7–3 victory.
October 8 – An error by Billy Myers allows the Yankees to tie it in the ninth. Then, costly errors in the tenth inning by Myers, Ival Goodman and Bucky Walters lead to three runs as the New York Yankees defeat the Cincinnati Reds, 7–4, in Game Four of the World Series to win a record fourth consecutive World Championship, and eighth overall, four games to none.
Pitcher Victor Starffin wins his 42nd game in a 96-game season of the Japanese Professional Baseball League, leading the Yomiuri Giants to the Championship title, while setting a post-1900 World Record for season victories that will be equaled by Kazuhisa Inao in 1961 but never broken. Starffin will follow his record performance with another 38 wins in 1940. Born in Russia, he moved to Asahikawa, Hokkaidō at a young age, and was selected as part of the national baseball team for an exhibition game against the United States in 1934. From 1936 through 1955 Starffin won 303 games, to become the first pitcher in Japanese baseball history to reach 300 victories.
December 6 – In a trade of veteran shortstops, or "worn-out shortstops," as one newspaper described it, the Chicago Cubs acquire Billy Rogell from the Detroit Tigers for Dick Bartell. Rogell, who injured his arm playing handball the previous year, hits just .136 before hanging up his spikes. The Tigers will release "Rowdy Richard" five games into the 1941 season, but he will stick with the New York Giants until 1946.
December 9 – The Detroit Tigers trade Benny McCoy and George Coffman to the Philadelphia A's for Wally Moses. The trade is voided by Commissioner Kenesaw Mountain Landis, and the players return to their original teams on January 14, 1940. The commissioner declared McCoy a free agent because he had been “hidden” from other teams. Judge Landis declares 87 more Tigers farmhands free agents due to their concealment in the minor leagues.