Born in Peoria, Illinois, Donlin's family soon moved to Erie, Pennsylvania where he lost both parents in a bridge collapse when he was a young boy. He later made his way out to California and was playing for the Santa Cruz Sandcrabs in 1899 when he was acquired by the St. Louis Perfectos. Despite not joining the team until mid-July, he finished 10th in the National League in home runs and batted .323. The following season he hit .326 and finished 3rd in home runs with 10 while only playing in about half of St. Louis' games. On a team full of good hitters, Donlin found it difficult to get regular playing time because of his poor defense and decided to jump to the Baltimore Orioles of the new American League in 1901 to play for his former teammate in St. Louis, John McGraw.