Vital records in the United States have been variously maintained at the local and state level since colonial times. It was not until the mid-eighteenth century its value was recognized in collecting health information, and not until early twentieth century that it became mandated by the federal government and not wholly observed until the mid-1930s. Prior to civil registration records were kept by the church, and in earlier times it was the church that supplied information to local and state governments, but this practice shifted as more states passed laws requiring registration and the church no longer played a role. However, laws differed from state to state and the practice of registering births and deaths was inconsistent. In 1902 the federal government began requiring states to report vital statistics information, including marriage and divorce. So the laws requiring vital records as we know them began in the early nineteenth century, but it would be as late as the mid-1930s before all states were on board.
You can find some information about when individual states began keeping records in Where to Write for Vital Records. The Remarks section for each state and for each event type provides information on when the state began keeping records.
Here is an example for Alabama:
Another good resource is the vital records websites for your state and county of interest, which typically provides the time range and repository for current and past records.
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