Sloane's radio work led him to be hired by Orson Welles to become part of his Mercury Theatre. Sloane recorded one program with Mercury Theatre on the Air and became a regular player when the show was picked up by a sponsor and became The Campbell Playhouse. Sloane moved with the rest of the company to Los Angeles to continue recording the show after Welles signed his contract with RKO Pictures. Sloane played Mr. Bernstein in Welles's first movie, Citizen Kane. After filming had wrapped, Sloane returned to New York to perform (together with fellow Kane stars Ray Collins and Paul Stewart) in Mercury Theatre's last play, Richard Wright's Native Son, which had 114 performances from March to June 1941. Although he did not appear in Welles's second film, The Magnificent Ambersons, in 1943 he joined fellow Mercury Theatre alumni Welles, Joseph Cotten, Agnes Moorehead, and Ruth Warwick in Journey into Fear. In 1947, Sloane also starred as Lawyer Arthur Bannister in The Lady from Shanghai, also directed by Welles. He played an Assassin in Renaissance-era Italy opposite Welles' Cesare Borgia in Prince of Foxes (1949).