In 1936 Dell Publishing created a comic book they titled as The Funnies. The comic book was a catch-all for a number of comic-created characters. It was published under this title until 1942. It began with original cartoon characters, then began adding comics based upon B-movie Westerns as well as some criminal related characters. The comic book was packaged by Max Gaines and edited by Sheldon Mayer.
When Gaines and Mayer left Dell to produce their own All-American Publications, the content of The Funnies turned to original content including content based upon various radio series including Mr. District Attorney and Captain Midnight. The issues that included stories about Captain Midnight were stories based upon the Ovaltine series from its radio beginning in 1940.
The links below are downloadable pdf files of the first few months of Captain Midnight. There are many audio episodes from the beginning of the Ovaltine years that are missing, and the comic will give you the story as it would have run over radio.