Ooh, baby don't you want to go?
Ooh, baby don't you want to go?
Back to the land of California,
to my sweet home Chicago

Robert Johnson (sound clip)

Chicago was THE city for blues musicians and African Americans from the South - no Jim Crow laws, plenty of jobs (at least before depression started), two direct lines to go there - the railroad and Highway 61.

Around 1850 there probably lived 300 African Americans  in Chicago, in 1920 they were 182,000  - and quite a lot of them were Blues musicians. They settled down south of State Street - in Southside.
State street was full of clubs and theaters, and quite a lot of musicians worked there. 

State Street in 1926

Maxwell Street in 1978
The South Side was a slum and the living conditions were worse than bad.
Houses were overcrowded, people slept in hot beds.
Jobs were lousy and  wages were low.
From 1925 onwards, State Street was Al Capone territory. Criminality was high.

Depression made it worse. Many went back to the South, although there were still people coming.
The Chicago Defender put it like that:

If you can freeze to death and die in Chicago as a free man, why then freeze to death and die in the South as a slave?1
With WW II the situation improved. Jobs were again easy to find. Maxwell Street became the new center for Blues.

The quote was freely translated from the German version of Paul Oliver's Die Story des Blues and thus can be different from the original quote.

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