After appearances on The Rudy Vallee Show in 1937, Skelton became a regular in 1939's Avalon Time on NBC, sponsored by Avalon Cigarettes. On October 7, 1941, Skelton premiered his own radio show, The Raleigh Cigarette Program, developing a number of recurring characters including punch-drunk boxer "Cauliflower McPugg," inebriated "Willy Lump-Lump" and "'Mean Widdle Kid' Junior," whose favorite phrase ("I dood it!") soon became part of the American lexicon. That, along with "He bwoke my widdle arm!" (or other body part) and "He don't know me vewy well, do he?" all found their way into various Warner Bros. cartoons.

Skelton himself was referenced in a Popeye cartoon in which the title character enters a haunted house and encounters a "red skeleton." The Three Stooges also referenced Skelton in Creeps (1956): Shemp: "Who are you?" Talking Skeleton: "Me? I’m Red." Shemp: "Oh, Red Skeleton."

Other characters included "Con Man San Fernando Red," cross-eyed seagulls "Gertrude and Heathcliffe" and the singing cabdriver "Clem Kadiddlehopper," who was a country bumpkin with a big heart. Clem had a knack for upstaging city slickers, even if he couldn't manipulate his cynical father: "When the stork brought you, Clem, I shoulda shot him on sight!" Skelton would later consider court action against the apparent usurpation of this character by Bill Scott for the voice of Bullwinkle.

The comedian helped sell World War II war bonds on the top-rated show, which featured Ozzie and Harriet Nelson in the supporting cast, plus the Ozzie Nelson Orchestra and announcer Truman Bradley. Harriet Nelson was the show's vocalist.

It was during this period that Red divorced his first wife, Edna, and married his second wife Georgia. According to the director George Sydney, he met Georgia while visiting the set of The Harvey Girls (1945) where Georgia, also nicknamed Red, played one of the "bad" girls working at the Alhambra bar. Red and Georgia's only son, Richard, was born in 1945. Georgia continued in her role as Red's manager until the 1960s.

Skelton was drafted in March 1944, so his popular series was discontinued on June 6. Shipped overseas to serve with an Army entertainment unit as a private, Skelton led an exceptionally hectic military life. In addition to his own duties and responsibilities, he was often summoned to entertain officers late at night. The perpetual motion and lack of rest resulted in a nervous breakdown in Italy. He spent three months in a hospital and was discharged in September 1945. He once joked about his military career, "I was the only celebrity who went in and came out a private."

On December 4, 1945, The Raleigh Cigarette Program resumed with Skelton introducing some new characters, including, "Bolivar Shagnasty" and "J. Newton Numbskull." The name "Bolivar Shagnasty" was later appropriated (in the year 2001) by reconteur [Donald A. Romano] of Newburgh and Albany, NY, for use on a series of Newburgh-based chatboards. Lurene Tuttle and Verna Felton appeared as Junior's mother and grandmother. David Forrester and David Rose led the orchestra, featuring vocalist Anita Ellis. The announcers were Pat McGeehan and Rod O'Connor. The series ended May 20, 1949. That fall, he moved to CBS, where the show ran until May 1953.