In 1994, Bill Lee was interviewing to become commissioner of an independent baseball league when he faced a pointed question: “Why would you want this job when the league’s going to be out of business in a year?”

“I said, ‘Well, if I take it, I hope it’s not. It better not be,’ ” recalls Mr. Lee, an unpretentious former minor-league and independent-league player.

Twenty-one years later, he is still the commissioner, and the Frontier League is now the oldest active independent baseball league in the country. But the question still sits in the back of Mr. Lee’s mind—and hovers over independent teams everywhere.

Independent baseball is an umbrella term for any league not affiliated with Major League Baseball—the 30 MLB teams and their minor-league farm clubs. The quality of play in independent leagues is comparable to that in the affiliated minors, but that’s where the similarities end.

Affiliated teams—sometimes owned by a big-league club but more often by outsiders—are pipelines for prospects training to play in the majors and rehab spots for injured players who have already made it. Independent-league teams don’t have the luxury of working with a big, deep-pocketed club. They have to find and pay their own players and coaches, in addition to covering major costs such as travel, lodging, equipment and workers’ compensation.