The Harlem night club where Lena Horne and Cab Calloway performed in the 1920s was the Cotton Club. Horne who was born in New York in 1917 debuted at the Cotton Club when she was only 16.

The Cotton Club was a New York City night club which was located in a Harlem neighborhood from 1923 to 1935. This club operated most notably during America's Prohibition Era. The club was a whites-only establishment even though it featured many popular black entertainers of the period. Musicians included Cab Calloway, Fletcher Henderson, Duke Ellington, Jimmie Lunceford, Chick Webb, Louis Armstrong, Count Basie, Fats Waller, Willie Bryant, etc. Key vocalists that performed were: Adelaide Hall, Ethel Waters, Bessie Smith, Aida Ward, Avon Long, the Dandridge Sisters, the Will Vodery Choir, The Mills Brothers, Nina Mae McKinney, Billie Holiday, and Lena Horne.

Also, some of the trendy dancers who provided a form of entertainment to the audience were: Bill Robinson, The Nicholas Brothers, Charles 'Honi' Coles, Leonard Reed, Stepin Fetchit, the Berry Brothers, The Four Step Brothers, Jeni Le Gon and Earl Snakehips Tucker.

More Info: en.wikipedia.org