I know someone who arrived to Baltimore directly (without going through Ellis Island) in the early 1900s. Are there any listings of passengers on these ships?
Ancestry.com indexes Baltimore arrivals along with many other ports. You will need a US subscription to search these databases.
UPDATE ON METHODOLOGY
I've used two different techniques to find records on a specific topic such as Baltimore arrival records. One approach is to find some specific matching individual, and then browse the collection from there. For example, search for any record with an arrival in Baltimore. This works well on Ancestry, which has a rich query form.
The second approach is use the catalog to find a desired collection, and then to search that collection. To find collections one can use the catalog on FamilySearch or the card catalog on Ancestry.com. Catalogs can be searched by keyword (e.g., immigration) or location (e.g., Baltimore) and then the desired collection can be identified by browsing. Once a collection is found, it generally comes with a search form that restricts search to that collection, or (in the case of FamilySearch) a form for ordering documents from it on microfilm.