The Academy Awards (aka the Oscars) was created in 1927 as a kind of "super union", and only the elite of the industry were invited to join. Only members of the Academy of Motion Picture Arts and Sciences may nominate and vote for candidates for the Oscars.

Here are the winners from 1927 through 1939.
Also, see the winners from 1940 through 1959.

 
1927 - 1928
1928 - 1929
Best Production (2 winners)
Best Production
The Last Command
Broadway Melody
Wings
Best Director
Best Director
Frank Borzage, Seventh Heaven
Frank LLoyd, The Divine Lady
Best Actor
Best Actor
Emil Jannings, The Last Command
Warner Baxter, In Old Arizona
Best Actress
Best Actress
Janet Gaynor, Seventh Heaven
Mary Pickford, Coquette
 
1929 - 1930
1930 - 1931
Best Production
Best Picture
All Quiet on the Western Front
Cimmaron
Best Director
Best Director
Lewis Milestone, All Quiet on the Western Front
Norman Taurog, Skippy
Best Actor
Best Actor
George Arliss, Disraeli
Lionel Barrymore, A Free Soul
Best Actress
Best Actress
Norma Shearer, The Divorcee
Marie Dressler, Min and Bill
 
1931 - 1932
1932 - 1933
Best Picture
Best Picture
Grand Hotel
Calvacade
Best Director
Best Director
Frank Borzage, Bad Girl
Frank Lloyd, Calvacade
Best Actor (2 winners)
Best Actor
Wallace Beery, The Champ
Charles Laughton, The Private Life of Henry VIII
Fredric March, Dr. Jekyll and Mr. Hyde
Best Actress
Best Actress
Helen Hayes, The Sin of Madelon Claudet
Katharine Hepburn, Morning Glory
 
1934
1935
Best Picture
Best Picture
It Happened One Night
Mutiny on the Bounty
Best Director
Best Director
Frank Capra, It Happened One Night
John Ford, The Informer
Best Actor
Best Actor
Clark Gable, It Happened One Night
Victor McLaglen, The Informer
Best Actress
Best Actress
Claudette Colbert, It Happened One Night
Bette Davis, Dangerous
 
1936
1937
Best Picture
Best Picture
The Great Zigfield
The Life of Emile Zola
Best Director
Best Director
Frank Capra, Mr. Deeds Goes to Town
Leo McCarey, The Awful Truth
Best Actor
Best Actor
Paul Muni, The Story of Louis Pasteur
Spencer Tracy, Captains Courageous
Best Actress
Best Actress
Luise Rainer, The Great Zigfield
Luise Rainer, The Good Earth
 
1938
1939
Best Picture
Best Picture
You Can't Take It With You
Gone With The Wind
Best Director
Best Director
Frank Capra, You Can't Take It
Victor Fleming, Gone With The Wind
Best Actor
Best Actor
Spencer Tracy, Boys Town
Rober Donat, Goodbye Mr. Chips
Best Actress
Best Actress
Bette Davis, Jezebel
Vivien Leigh, Gone With The Wind