Cards designated as Rookie cards in the hobby are not necessarily the first card of a player (as strange as that sounds). It's their first card in a mainstream set. Cards considered outside the mainstream that are older are often called pre-rookie cards and there are A LOT of famous players with pre-rookie cards.
I built a list of all HOFers and their pre-rookie cards a while back and have been spending some time trying to pick them up. It's a fun and interesting subset to go after!
jeff
P.S. Red Grange's official rookie card is the 1933 Sport Kings. As mentioned, there are a bunch that are earlier.
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