The Iron Curtain can be said to have split the European into two halves: east and west. But this split didn't exist before the end of WWII, so what were the early 1900's definitions for Eastern Europe? Or did it even exist as a concept? Kaliningrad is definitely Eastern European but it was a German city until WWII, for example.
Edit: Of course this split is now highly contentious and even considered offensive among Central Europeans and the Baltics but it is undeniable that planned economies were grouped together as Eastern until 1991.
The short answer is that the idea of Eastern Europe (as compared to Western Europe) did exist, but this distinction wasn't as "sharp" as later the Iron Curtain made it to be.
The landscape of the countries was quite different back then. You mentioned present day Kalinigrad - indeed, East Prussia used to be a core German region. German empires and German influence were much greater back then, so we should be talking about a Central European region in this era (instead of "East" and "West"). The "Germanic" rule extended to parts of Poland, Czechoslovakia, Hungary, parts of Romania, parts of Yugoslavia (Slovenia and Croatia). These regions were considered to be part of German ruled "Mitteleuropa" (Middle Europe or Central Europe). In this area, of course, as you travelled further from the Germanic core the regions tended to be less developed, but it was somewhat continous and not as sharp. After WW1, most of these countries were "left for themselves" for a few decades (until WW2), but this didn't bring great changes relevant to this topic.
But to also very briefly illustrate that the idea of East(ern Europe) vs. West(ern Europe) did exist in this era, I would like to mention one of the most important literary journals of Hungary, which was called Nyugat ("West"), which in the first third of the 20th century fought to wake up the country to its backwardness and underdevelopment, compared to the West.
Finally, I would like to demonstrate just how much the Iron Curtain is responsible for the East-West division and the emergence of the idea of Eastern Europe (as a poorer counterpart to the West), and how much it magnified the contrast.
First let's take a look at the GDP/capita of Hungary and Poland (which later fell under the Iron Curtain), and compare to Finland and Greece (which were definitely not considered Western Europe in the era, but later avoided the Curtain) in 1938* (shortly before WW2):
| 1938 | GDP/capita |
|---|---|
| Poland | 1 |
| Hungary | 1.2 |
| Greece | 1.2 |
| Finland | 1.6 |
^(here "1" means around 2200 USD (of year 1990)
We can see that while there are some differences, they are not that great.
Now compare that to the millennial year 2000**:
| 2000 | GDP/capita |
|---|---|
| Poland | 1 |
| Hungary | 1 |
| Greece | 2.6 |
| Finland | 5.2 |
^(here "1" means around 4500 USD (of current year)
*Historical data source and further reading: Angus Maddison: The World Economy
**Data source: WorldBank