Accustomed to hard-court surfaces in his native California, he had difficulty playing on the grass surfaces in the east. However, a good instructor and hard work changed all that and in 1937 he swept Wimbledon, winning the singles, the men's doubles title with Gene Mako, and the mixed doubles crown with Alice Marble. He then went on to win the U. S. National singles and the mixed doubles with Sarah Palfrey Fabyan.
He gained the most fame for his match that year against Gottfried von Cramm in the Davis Cup inter-zone finals against Germany. Trailing 1–4 in the final set, he came back to win 8–6. His victory allowed the United States to advance and to then win the Davis Cup for the first time in 12 years. For his efforts, he was named Associated Press Male Athlete of the Year and he became the first tennis player to ever be voted the James E. Sullivan Award as America's top amateur athlete.
In 1938 Budge dominated amateur tennis, defeating John Bromwich in the Australian Open final, Roderick Menzel in the French Open, Henry "Bunny" Austin at Wimbledon, where he never lost a set, and Gene Mako in the U.S. Open, to become the first person ever to win the Grand Slam in tennis.
This permanently hindered his playing abilities. During his wartime duty he played some exhibitions for the troops in particular during the summer 1945 with the war winding down, Budge played in an U.S Army (Budge-Frank Parker) - U.S. Navy (Riggs - Wayne Sabin) competition under the Davis Cup format : the main confrontations were the Budge-Riggs meetings knowing that both Americans were the best players in the world in 1942 just before being enlisted in the U.S. Armed Forces and again when they came back to the professional circuit in 1945. In the first match, on the island of Guam, Budge trounced Riggs 6–2 6–2. On the island of Peleliu Budge won again 6–4 7–5. Riggs won the next two matches against Budge 6–1 6–1 (island of Ulithi) and 6–3, 4–6, 6–1 (island of Saipan). Budge confided in Parker his disbelief at losing two matches in a row to Riggs. In the fifth and final match on the island of Tinian, scheduled for the first week of August 1945, Riggs defeated Budge 6–8 6–1 8–6. This was the first time Budge had been beaten by Riggs in a series (Riggs also won 3 matches out of 5 against the amateur Parker, both holder and future titlist of the U.S. amateur Nationals at Forest Hills) thereby giving Riggs an important psychological edge in their forthcoming peacetime tours.
According to Riggs, however, Budge still had a very powerful, very deadly overhead and that rather than winning outright very many points with his lobbing, he actually achieved two other goals: his constant lobbing led Budge to play somewhat deeper at the net than he would have otherwise, thereby making it easier for Riggs to hit passing shots for winners; and the constant lobbing helped to wear Budge down by forcing him to run back to the backline time after time. . Budge reached two more U.S. Pro finals, losing in 1949 at Forest Hills to Riggs and in 1953 in Cleveland to Pancho Gonzales.
In 1954 Budge recorded his last significant victory in a North American tour with Pancho Gonzales, Pancho Segura, and Frank Sedgman when, in Los Angeles, he defeated Gonzales, by then the best player in the world.
In December of 1999, Budge was injured in an automobile accident from which he never fully recovered. He died on January 26 2000 at a nursing home in Scranton, Pennsylvania, aged 84.
Budge was inducted into the International Tennis Hall of Fame at Newport, Rhode Island in 1964. Don Budge received the honor of being mentioned in a musical. He is known as the tennis instructor in Annie. His skill is referred to during the song "I think I'm gonna like it here."
Jack Kramer himself has written that Budge was, in the long run, the greatest player who ever lived although Ellsworth Vines topped him when at the height of his game. Kramer said:
In his 1979 autobiography Kramer considered the best player ever to have been either Don Budge (for consistent play) or Ellsworth Vines (at the height of his game). The next four best were, chronologically, Bill Tilden, Fred Perry, Bobby Riggs, and Pancho Gonzales. All of these sources were written after Rod Laver completed his second, and Open, Grand Slam in 1969.
In early 1986 Inside Tennis, a magazine edited in Northern California, devoted parts of four issues to a lengthy article called "Tournament of the Century", an imaginary tournament to determine the greatest of all time. Twenty-five players in all were named by the 37 experts in their lists of the 10 best. The magazine then ranked them in descending order by total number of points assigned. The top eight players in overall points, with their number of first-place votes, were: Rod Laver (9), John McEnroe (3), Don Budge (4), Jack Kramer (5), Björn Borg (6), Pancho Gonzales (1), Bill Tilden (6), and Lew Hoad (1). McEnroe was still an active player and Laver and Borg had only recently retired. In the imaginary tournament Laver beat McEnroe in the finals in 5 sets.
More recently, an Associated Press poll conducted in 1999 ranked Budge fifth, following Laver, Pete Sampras, Tilden, and Borg. Even more recently, in 2006, a panel of former players and experts was asked by TennisWeek to assemble a draw for a fantasy tournament to determine who was the greatest of all time. The top eight seeds were Roger Federer, Laver, Sampras, Borg, Tilden, Budge, Kramer, and McEnroe. In important polls, then, Budge has consistently been ranked in the top five or six. Perhaps only Tilden and Laver can boast such a high and long-standing critical assessment.
| Year | Championship | Opponent in Final | Score in Final |
| 1937 | Wimbledon | Gottfried von Cramm | 6–3, 6–4, 6–2 |
| 1937 | U.S. Championships | Gottfried von Cramm | 6–1, 7–9, 6–1, 3–6, 6–1 |
| 1938 | Australian Championships | John Bromwich | 6–4, 6–2, 6–1 |
| 1938 | French Championships | Roderik Menzel | 6–3, 6–2, 6–4 |
| 1938 | Wimbledon Championships (2) | Bunny Austin | 6–1, 6–0, 6–3 |
| 1938 | U.S. Championships (2) | Gene Mako | 6–3, 6–8, 6–2, 6–1 |
| Year | Championship | Opponent in Final | Score in Final |
| 1936 | U.S. Championships | Fred Perry | 2–6, 6–2, 8–6, 1–6, 10–8 |