Among those that appear in the film are the band leader Paul Whiteman, "singer" Roscoe Ates, Mae Wes, Harold Lloyd, and Zasu Pitts. The voice for the Al Jolson character sounds remarkably like Cliff Edwards.
Here is a list of the celebrities caricatured in Old King Cole. For the most part they are listed in order of their appearance:
Charlie Chaplin, Greta Garbo, Ed Wynn, Joe E. Brown, Laurel & Hardy, Buster Keaton, Will Rogers, W. C Fields, Edna Mae Oliver, Maw West, Joe Penner, Al Jolson (in blackface), Jimmy Durante, Harold Lloyd, Zasu Pitts, and the four Marx Brothers.
The conducting of the orchestra featuring clones of the leader is Paul Whiteman - then known as The King Of Jazz.
Walter Lantz had been hired by Universal to create a color, sound cartoon opening to Universal's film "The King of Jazz" a few years earlier.