Yes and no. The bonds that were able to retain a AAA rating held their own through the Great Depression:

But holders of Baa debt took it on the chin:

What the above graphs don’t show is the downgrades that took place along the way. Many bonds rated AAA in 1929 became Bbb or worse by 1932, in which case holders showed a huge capital loss. Of course, the bottom was a fantastic buying opportunity for those who had any money. Only 1/2 a percent of bonds issued in the Depression defaulted (source), which attests to how strict lending standards became.

Just so you know what kind of environment we are talking about here, when you hear Great Depression, think 45% drop in GNP:

And a corresponding drop in personal consumption:

Long term treasuries were the best performers, as yields just continued along their already established downward trend, albeit with some volatility, and there were of course no downgrades: