Bullet Benton circa late 1930s and Red Knight circa 1940-41.

In 1934, there was a newspaper comic strip from the Register & Tribune Syndicate called Bullet Benton which had western motifss and boxing. Benton eventually became a boxer and was jailed for a murder he didn't commit at which point (March 1940) he was visited by a a Dr. Van Lear (if I remember) in prison who gave Benton powers and made him The Red Knight to fight crime. As noted on Don Markstein's Toonopedia page, the Red Knight was granted super strength and super speed, could turn invisible and control people's minds. But, he could not fly and sometimes got to his destination in a taxicab.

The strip was renamed The Red Knight in April 1940. He fought crime and then went off to fight in WWII where he lost his powers as he was shot down over Japan and could not recharge. He then became the adventurer Alan Knight. As his final adventure neared conclusion, the strip was canceled and a caption to wrap things up stuck at the end.
The strip ended unceremoniously in 1943. Below is a Bullet Benton and Red Knight strip.

I believe (please correct me folks) that the Red Knight is the only comic strip superhero who did not make the leap into comic books....at least not until I put him in The Liberty Brigade comicbook I write. Others such as Lady Luck, Miss Fury and Invisible Scarlet O'Neil who started in strips all made it into comics.

Thanks to Toonopedia for the nice summary