Research in music video: 1920 - 1959

The phonoscène era was the beginning of sound film. The recording and film were synchronized by a mechanism patented by Léon Gaumont in 1902. The first phonoscènes were presented by Gaumont in 1902 in France. 
It used a chronophone sound recording with a chronograph film shot with actors lip-synching to the sound recording. (Source: Wikipedia) 

Felix Mayol performing. 

In the  Early 1930s some cartoons featured musicians performing their music on camera in live action segments during the cartoons. Animated films by Walt disney such as the Silly Symphonies shorts and especially Fantasia, which featured classical pieces, were constructed around music. The sing along concept is still used today, for example with younger viewers; high school musical.

Silly Symphony Short.