In 1917, The Bambino led the league in shutouts (nine) and ERA (1.75), with a 24-13 record. Lannin sold the team to Harry Harrison Frazee at the end of 1917. Rosters were being decimated as players left to fight in World War I. Ruth helped by playing in the field (mostly in left) when he was not pitching. Despite batting in only 95 games, he hit the most home runs in the majors. He was on the mound for game one of the 1918 Fall Classic, where he pitched a complete game shut out to beat the Chicago Cubs 1-0. He would also get the win in game four of that series, helping the Red Sox defeat Chicago four games to two. Boston won three championships in The Babe's first four full seasons with the team.

In 1919, The Red Sox and Ruth could not agree on a contract; the Babe settled for $10000 per year (other top players in the league were earning upwards of $15000). In addition to earning only half of what he felt was appropriate, The Babe no longer wanted to pitch; Boston's new owner Harry Frazee and Ruth were not getting along. Babe Ruth hit a record 29 home runs, more than any other major league team. Prior to the 1920 season, Ruth was sold to Colonel Jacob Ruppert's New York Yankees for $100,000, plus a loan collateralized by Fenway Park. Ruth's .376 batting average, 54 home runs and 137 RBIs generated attendance of 1,289,422 fans in his first year with the Yankees. That was the first time in baseball history that a team's home attendance exceeded one million. This led to the construction of Yankee Stadium, "The House That Ruth Built." On July 12, 1921, Ruth broke Roger Conner's record for career home runs when he swatted his 137th off of St. Louis Browns pitcher Dixie Davis.

The Yankees continued to share the Polo Grounds with the New York Giants until 1923 (when Yankee Stadium opened). That year, Ruth (batting .393 with 41 home runs) led the Yankees to their first of a record twenty-six World Series Championships. The Babe hit his last three home runs (numbers 712, 713 and 714), while playing for the Boston Braves, in a game against Pittsburgh on May 25, 1935. He retired eight days later. The Bambino ranks among the best ever in dozens of pitching and hitting records. He was inducted into the Baseball Hall of Fame, on February 2, 1936, as one of the five charter members. The other four were Ty Cobb, Walter Johnson, Christy Mathewson, and Honus Wagner.

Boston has appeared in only five World Series since 1918, losing four of them in seven games. In 1946, they tied game seven in the top of the eighth against the Cardinals, but gave up the winning run in the bottom of the inning. Boston had a 3-0 lead in game seven of the 1975 Series, but ended up losing by one run to the Reds. They were one strike away from winning the 1986 Series four times in game six. The Red Sox then had a 3-0 lead going into the sixth inning of game seven, but gave up eight runs in the final three innings to lose the game. The Sox carried a three-run lead into the bottom of the eighth of game seven of the 2003 ALCS. They allowed New York to score three runs to tie the game. Then, the Yankees won on Aaron Boone's home run in the eleventh inning. The Red Sox lost by five runs to Cleveland in the 1948 American League tiebreaker. Thirty years later, Boston had a 2-0 lead until New York's Bucky Dent hit his infamous home run over the Fenway scoreboard in the seventh inning of the AL East tiebreaker. In 1949, they needed to win one of their two final games to win the American League (both against New York). They blew a 4-0 lead in the first game, and lost the second by a score of 5-3.

Many consider Boston's performance after the departure of Babe Ruth to be "The Curse of the Bambino."