The Harvard Business Review traces its roots back to a March 1917 memo written by Professor Melvin Copeland, who argued that the proposed magazine should help promote "scientific business management." President Lowell approved the plan in principle, and authorized the creation of an exploratory committee. But the entry of the U.S. into World War I put the plan on hold.

In the spring of 1921, a group of MBA students revived the idea, arguing that it would both improve student morale and lend luster to the School. Donham agreed, and that fall, the faculty authorized the creation of a journal, with "the faculty to assume responsibility for the leading articles, with miscellaneous articles under student editorial control."

Working with Chicago publisher Arch Shaw, Donham conceived a deliberately "high-end," non-commercial magazine, with the unusually high annual subscription price of $5. He insisted on a serious-looking cover, akin to the Quarterly Journal of Economics then being published across the Charles River. On both of these points, Shaw—who knew far more about magazine publishing than Donham—reluctantly capitulated.

For the first decade and a half of the magazine's existence, the Student Review Board performed erratically, dependent as it was on the talents and commitment of its chairman. The board was further hindered by the fact that the MBA program was only two years long, which precluded the continuity provided by three-year law programs. "[The board] has failed miserably this year," an administrator informed Donham in 1931, "due largely to their irresponsibility and the decentralization of faculty control." One distinguished student, Stanley F. Teele, thought so little of the board that he declined to serve when elected to it. The board was abolished in 1937.

Like most School activities, HBR suffered staff curtailments and budget cuts throughout the Depression, and showed small losses each year. Subscriptions continued the decline begun in the mid-1920s: from a 1923 high of 5,200 to a low, in 1942, of 2,000.

In 1943, however, the magazine made a $500 profit—its first since 1923—suggesting once again that if produced and marketed effectively in a receptive economy, HBR could support itself, and perhaps provide a source of revenue to the School.