Edward Albert Heimberger was born in Rock Island, Illinois, on April 22, 1906, the oldest of the five children of Frank Daniel Heimberger, a realtor, and his wife, Julia Jones. His year of birth is often given as 1908, but this is incorrect. His parents were not married when Albert was born, and his mother altered his birth certificate after her marriage. When he was one year old, his family moved to Minneapolis, Minnesota.

When he graduated, he embarked on a business career. However, the stock market crash in 1929 left him essentially unemployed. He then took odd jobs, working as a trapeze performer, an insurance salesman, and a nightclub singer. Albert stopped using his last name professionally, since it invariably was mispronounced as "Hamburger". He moved to New York City in 1933, where he co-hosted a radio show, The Honeymooners - Grace and Eddie Show, which ran for three years. At the show's end, he was offered a film contract by Warner Bros. In the 1930s, Albert performed in Broadway stage productions, including Brother Rat, which opened in 1936. He had lead roles in Room Service (1937-1938) and The Boys from Syracuse (1938-1939). In 1936, Albert had also become one of the earliest television actors, performing live in one of RCA's first television broadcasts in association with NBC, a promotion for their New York City radio stations. Performing regularly on early television, Albert wrote and performed in the first teleplay, The Love Nest, written for television. Done live (not recorded on film), this production took place November 6, 1936, and originated in Studio 3H (now 3K) in the GE Building at Rockefeller Center (then called the RCA Building) in New York City and was broadcast over NBC's experimental television station W2XBS (now WNBC). Hosted by Betty Goodwin, The Love Nest starred Albert, Hildegarde, The Ink Spots, Ed Wynn, and actress Grace Brandt. Before this time, television productions were adaptations of stage plays. Albert landed the starring role in the 1938 Broadway musical The Boys from Syracuse when he met Burl Ives, who had a small role in the play. The two later briefly shared an apartment in the Beachwood Canyon community of Hollywood after Ives moved west the following year. Also in 1938, Albert made his feature-film debut in the Hollywood version of Brother Rat with Ronald Reagan and Jane Wyman, reprising his Broadway role as cadet "Bing" Edwards. The next year, he starred in On Your Toes, adapted for the screen from the Broadway smash by Rodgers and Hart.

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