Unknown (later Unknown Worlds) was founded as a quality fantasy magazine by editor John W. Campbell, Jr. to be published along with companion magazine Astounding Science Fiction. The two magazines were published simultaneously from the spring of 1939 until the fall of 1943, at which time Unknown was discontinued — mainly due to World War II paper shortages.
In all there were 39 issues of Unknown/Unknown Worlds, but it was not considered a commercial success. It was a success to readers, however, and greatly missed by SF and fantasy fans when it ceased publication. David Kyle has been quoted as saying, on its demise: "a void was left which was never really filled."
With the October, 1941, issue the title was changed. Unknown, which had been carrying the sub-title of "Fantasy Fiction" since its December, 1940 issue, became Unknown Worlds, but retained the sub-title. Over its run the size and price also changed, from pulp size to large pulp size,then back to pulp size, and from 20 cents to 25 cents.
Several authors who wrote SF stories for Astounding also wrote fantasy stories for Unknown. These included Alfred Bester, Nelson S. Bond, Fredric Brown, Cleve Cartmill, L. Sprague de Camp, Lester del Rey, H. L. Gold, Robert Heinlein, L. Ron Hubbard, Malcolm Jameson, Henry Kuttner, Fritz Leiber, Jr., Frank Belknap Long, P. Schuyler Miller, Eric Frank Russell, Theodore Sturgeon, A. E. van Vogt, and Jack Williamson. Artists who did more than one cover were Edd Cartier, H. W. Scott, and Graves Gladney.
In 1948 Campbell brought out a one-shot magazine anthology, From Unknown Worlds: An Anthology of Modern Fantasy for Grownups. The Unknown (1963) and The Unknown 5 (1964) were later paperback anthologies reprinting stories from the magazine. The Unknown Index was published by Jack Riggs and Louis C. Smith in 1946 and Arthur Metzger published An Index & Short History of Unknown in 1976.
A critical essay on Unknown/Unknown Worlds by Jon D. Swartz, N3F Historian, appeared in the December, 2016 (Volume 75, NUmber 12) issue of The National Fantasy Fan.
For more on Unknown, see http://www.sf-encyclopedia.com/entry/unknown