Beginning when she was ten years old, Chicago actress Shirley Bell Cole (1920–2010) starred on radio's Little Orphan Annie from 1930 to 1940. In 2007, she continued to make personal appearances talking about her experiences on the radio show. Her memoir, Acting Her Age: My Ten Years as a Ten-Year-Old (Stinehour Press, 2005), won two awards at the Chicago Book Clinic's Book and Media Show.

From 1931 to 1933, the radio show had two different casts, one in Chicago and one in San Francisco, daily performing the same scripts, many written by Ferrin Fraser. Floy Hughes portrayed Annie in the West Coast version.

Little Orphan Annie began in 1930 in Chicago on WGN (720), and on April 6, 1931, with Ovaltine as the sponsor, the 15-minute series graduated to the Blue Network. Airing six days a week at 5:45 pm, it was the first late-afternoon children's radio serial, and as such, it created a sensation with its youthful listeners, continuing until October 30, 1936. During a contract dispute with Shirley Bell, Annie was briefly played by Bobbe Dean in 1934–35. Pierre Andre was the show's announcer. Stanley Andrews portrayed Daddy Warbucks. Allan Baruck (and later Mel Torme) played Joe Corntassel. Other actors on the series were Finney Briggs and Andrew Stanton. The program's organist was Leonard Salvo, who also provided the music for The Cisco Kid and The Billie Burke Show.

The show opened with a theme song sung by Pierre Andre (as Uncle Andy). This song took on a popularity of its own with its oft-quoted lyrics:

Who's that little chatter box?
The one with pretty auburn locks?
Whom do you see?
It's Little Orphan Annie.
She and Sandy make a pair,
They never seem to have a care!
Cute little she,
It's Little Orphan Annie.
Bright eyes, cheeks a rosy glow,
There's a store of healthiness handy.
Mite-size, always on the go,
If you want to know - "Arf", says Sandy.
Always wears a sunny smile,
Now, wouldn't it be worth a while,
If you could be,
Like Little Orphan Annie?

The song led to the catch phrase, "Arf says Sandy," sometimes given as "Arf goes Sandy." With Ovaltine still on board as sponsor, NBC carried the show from November 2, 1936 until January 19, 1940, and concurrent broadcasts were also carried at 5:30 pm on Mutual in 1937-38. In 1940, Ovaltine dropped sponsorship of the show to pick up Captain Midnight, an aviation-oriented show more in tune with the increasing international tensions as World War II started in Europe and the Orient. The announcer Pierre Andre had a strong identification with the sponsor's product and thus continued as the announcer of Captain Midnight.

Sponsored by Quaker Puffed Wheat Sparkies, the show moved to Mutual for its final run from January 22, 1940 to April 26, 1942. Janice Gilbert portrayed Annie from 1940 to 1942. A new character, dashing aviator Captain Sparks, was introduced, and Annie became his sidekick. Despite the program's popularity, few episodes have survived.

The radio program and the Ovaltine sponsorship were directly referenced in Jean Shepherd's novel In God We Trust, All Others Pay Cash and companion movie A Christmas Story, which used an actual 1940 Orphan Annie decoder badge as a prop.