The first evidence that the the Atom bomb was possible appeared in 1939, when Albert Einstein wrote a letter to President Roosevelt. In the letter, Einstein warns President Roosevelt of the existence of nuclear energy by saying that "vast amounts of power and large quantities of new-radium like elements would be generated. Now it appears almost certain that this could be achieved in the immediate future." He then goes on to warn that a very powerful bomb could be made using this technology and hints that the Germans may already be well on their way to its creation when he states, "I understand that Germany has actually stopped the sale of uranium from the Czechoslovakian mines which she has taken over." This shows just how far ahead of the Allies Germany was.
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Shortly after the war, a nuclear reactor was found underneath a church in Germany, proving the Germans were well on their way to making an atomic bomb.
Below is the Primary Source letter from Einstein to Roosevelt.