in all states. As you can see in 1940, Southern states supported the Democratic candidate between 80-85 percent with Mississippi and South Carolina voting 95 percent for the Democratic Party. In Florida and NC, it was a little less in the 70s and Tennessee 67 percent.
Actually, it started to change in 1948 when Southern Democrats were angry at Truman for supporting civil rights.
Source:
https://en.wikipedia.org/wiki/United_States_presidential_election,_1940#Results_by_state