Spycraft in the 1930s/1940s was more about human intelligence (HUMINT) than technical intelligence (TECHINT), to use the distinction that was introduced in the Cold War. It wasn't about flying airplanes over other countries secretly (there were "reconnaissance aircraft" as early was WWI but I don't know of them being used for spy purposes). It was about convincing people to give you information or work with you. Leaks, moles, blackmail, occasionally pilfering... this is the stuff of spycraft prior to, and during, World War II, with the exception of the famed cryptography work, which arose more during WWII than before it (though the US "Black Chamber," active for about a decade in the 1920s, did have some successes before it was disbanded).

One can look to the war itself to get a flavor for the possibilities in the air. The OSS got very good at catching German agents in the UK and turning them into double agents (Operation Double-Cross). The UK and the US got good at cracking ciphers. The Soviets had moles in the UK and the US sending them information, and had people working for various US government positions helping them ferret out information or otherwise aid their cause (usually these were "ideological" spies, people who believed Communism was a good idea and didn't really buy the idea that Stalin was a dictator). And so on.

In other words, it was pretty low-tech, on the whole, except for the code-breaking. Much of the high-tech that you associate with spying came during the Cold War, when it became clear that the US would not be able to penetrate the closed-society of the USSR with human intelligence, and had to rely almost exclusively on technical intelligence — wiretapping, signals intelligence, cryptography, and eventually (by the 1960s) overflights (the U2) and satellites.