FDR enacted an alphabet soup of programs designed to help the poor; but before that, where did they go get help? Did they just have to do everything on their own?
It depends on the demographic that you're talking about.
Most early cases of social welfare programs had to do with helping sick people. Women like Jane Addams also led movements (The Settlement House/Hull House) to improve the quality of their local communities.
In other cases, immigrants were helped with housing, jobs, and schooling in the 19th century by (sometimes corrupt) political machines, in exchange for their votes in elections.
Keep in mind though, that a prevailing fear throughout early American history has been big government. A laissez faire and rugged individualism approach towards both business and life, created a society in which people either succeeded or failed on their own merits. This was not necessarily seen as a bad thing, as long as, as Teddy Roosevelt said, everyone got a square deal, or fair chance to prosper.