How about Max Woosnam (1920s and '30s)? Manchester City captain, England football captain, five times Cambridge Blue, Wimbledon doubles champion, Davis Cup captain, Olympic tennis gold medallist, Lord's centurian, scratch golfer, maximum break at snooker. He also served in the trenches throughout the 1st World War, AND beat Charlie Chaplin at table tennis using only a butter knife!
(I only know all this as I've recently been given his biography.)