MattiasN shared a compilation of vintage footage taken from 1939 to 1940. The film starts out with people enjoying summer sports on Jones Beach, which is on the South shore of Nassau County on Long Island.
The film then cuts to people skating somewhere in New York City, although the exact location is unclear. The film finishes up with a football game at the Polo Grounds in Upper Manhattan.
The beginning of the film shows what I believe is Jones Beach on Long Island — check out the large water tower in the background of some shots. This tower still exists today and is part of Jones Beach Park.