Here is the entry from the Traditional Ballad Index, the first of seven Jesse James songs covered by the Ballad Index:

Jesse James (I) [Laws E1]

DESCRIPTION: Jesse James's career is briefly described, with praise given to his (alleged) acts of charity. The story of James's murder is then told, focusing on the treachery of Robert Ford, "the dirty little coward that shot 'Mister Howard.'"
AUTHOR: unknown (many versions claim to be written by Billy Gashade)
EARLIEST DATE: 1906 (Belden)
KEYWORDS: outlaw death
HISTORICAL REFERENCES:
Apr 4, 1882 - Shooting of Jesse James (then in semi-retirement under the name of Howard) by Robert Ford, a relative and a former member of his gang tempted by the $10,000 reward
FOUND IN: US(Ap,MA,MW,So,SE)
REFERENCES (24 citations):
Laws E1, Jesse James (I)
Belden, pp. 401-404, "Jesse James" (3 texts, of which only the first is this song)
Randolph 132, "Jesse James" (6 texts plus an excerpt, 6 tunes, but Laws refers the B version to Laws E2; the excerpt "C" may also go there)
Randolph/Cohen, pp. 146-148, "Jesse James" (1 text, 1 tune -- Randolph's 132F)
BrownII 243, "Jesse James" (4 texts plus 3 excerpts and mention of 3 more; of these, the "A" and "B" texts are certainly this, and probably "G" also though it has wandered far; "I" is "Jesse James (II)")
Chappell-FSRA 112, "Jesse James" (1 fragment, placed here by Laws although it's not typical of the type)
Hudson 99, pp. 235-237, "Jesse James" (2 texts plus a fragment and mention of 3 more; the "B" text and "C" fragment are Laws E1; the "A" text is Laws E2)
Gardner/Chickering 139, "Jesse James" (1 short text without a chorus plus mention of 1 more, 1 tune)
Leach, pp. 753-755, "Jesse James" (3 texts)
Friedman, p. 377, "Jesse James" (2 texts, but only the first is this ballad; Laws lists the second as Jesse James III, dE44)
Sandburg, pp. 374-375, "I Went Down to the Depot" (1 text, 1 tune, heavily folk processed); 420-421, "Jesse James" (1 text, 1 tune)
Lomax-FSUSA 80, "Jesse James" (1 text, 1 tune)
Lomax-FSNA 183, "Jesse James" (1 text, 1 tune, which Laws places here but which is noticeably different from most other texts of this type)
Lomax-ABFS, pp. 128-131, "Jesse James" (2 texts, 1 tune, but only the first is this ballad; the second is Jesse James II, Laws E2)
Burt, pp. 191-192, "(Jesse James)" (1 excerpt)
Fife-Cowboy/West 93, "Jesse James" (5 texts, 2 tunes, of which the "A" and "B" texts are Laws E1 and the others are distinct)
LPound-ABS, 64, pp. 145-146, "Jesse James"; p. 146, "Jesse James" (2 texts)
JHCox 44, "Jesse James" (1 text)
PSeeger-AFB, p. 36, "Jesse James" (1 text, 1 tune)
Gilbert, pp. 190-191, "Jesse James" (1 text)
Pankake-PHCFSB, p. 273, "Jesse James" (1 text)
Silber-FSWB, p. 202, "Jesse James" (1 text)
Saffel-CowboyP, p. 188-189, "Jesse James" (1 text)
DT 619, JESSJAME*
Roud #2240
RECORDINGS:
Bascom Lamar Lunsford, "Jesse James" (OKeh 40155, c. 1924)
Ken Maynard, "Jesse James" (1930, unissued; on RoughWays1)
Harry McClintock, "Jesse James" (Victor 21420, 1928; on WhenIWas2)
Riley Puckett, "Jesse James" (Columbia 15033-D, 1925)
George Reneau, "Jesse James" (Vocalion 14897, 1924)
Almeda Riddle, "Jesse James" [fragment] (on LomaxCD1705)
Pete Seeger, "Jesse James" (on PeteSeeger16)
Ernest Thompson, "Jesse James" (Columbia 145-D, 1924)
CROSS-REFERENCES:
cf. "Jesse James (II)" [Laws E2]
cf. "Jesse James (III)"
cf. "The Death of Jesse James"
cf. "Jesse James (IV)"
cf. "Jesse James (VI -- 'I Wonder Where My Poor Old Jesse's Gone')"
cf. "J. B. Marcum (A Kentucky Feud Song)" [Laws E19] (tune & meter)
cf. "Cooper Milton" (lyrics)
SAME TUNE:
Jesus Christ (by Woody Guthrie) (Greenway-AFP, pp. 301-302; DT, JESUSCHR)
ALTERNATE TITLES:
Oh, People Ain't You Sorry
Notes: It should probably be noted that Jesse James wasn't as nice a person as this song depicts. He began his career with Quantrill's raiders (today we would say "terrorists"), and his behavior never improved much except that he eventually began to settle down.
"Thomas Howard" was the name used by James when he settled down in Saint Joseph, Missouri.
The "Billy Gashade" mentioned in some texts as the author is unknown.
This version is the "standard" Jesse James song, usually beginning "Jesse James was a lad who killed many a man, He robbed the Glendale train." The usual chorus runs, "(Poor) Jesse had a wife to mourn for his life, Three children, they were brave. But the dirty little coward who shot Mister Howard Has laid Jesse James in his grave." - RBW
File: LE01

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The Ballad Index Copyright 2004 by Robert B. Waltz and David G. Engle.

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Here is the text from Belden. I suppose it's the same song as the first version in the Digital Tradition (click), but there are many differences. I wonder what's the source of the DT version.
-Joe Offer-

Jesse James

Jesse James was a lad that killed many a man.
He robbed the Danville train.
But that dirty little coward that shot Mr. Howard
Has laid poor Jesse in the grave.

It was Robert Ford, that dirty little coward,
I wonder how he does feel;
For he ate of Jesse's bread and slept in Jesse's bed
And laid poor Jesse in the grave.

Chorus:
Poor Jesse had a wife to mourn for his life,
His children they were brave;
But that dirty little coward that shot Mr. Howard
And laid poor Jesse in the grave!

It was his brother Frank who robbed the Gallatin bank
And carried the money from the town.
It was at this very place they had a little chase,
For they shot Capt. Sheets to the ground.

They went to the crossing not very far from here,
And there they did the same;
With the agent on his knees he delivered up the keys
To the outlaws Frank and Jesse James.

It was on Wednesday night, the moon was shining bright,
They robbed the Glenville train.
The people they did say, for many miles away,
It was robbed by Frank and Jesse James.

It was on Saturday night, Jesse was at home,
Talking with his family brave.
Robert Ford came along like a thief in the night
And laid poor Jesse in the grave.

The people held their breath when they heard of Jesse's death
And wondered how he ever came to die.
It was one of the gang called little Robert Ford,
He shot poor Jesse on the sly.

This song was made by Billy Gashade*
As soon as the news did arrive.
He said there is no man with the law in his hand
Can take Jesse James when alive.

*The name is LaShade in the two Missouri printed texts; but Gashade in CS and ABFS.


'Jesse James.' Sent to me (Belden) in 1906 by George Williams of Bollinger County, who says: 'This song I heard a country boy named Jim Burton sing some eight years ago. Many people in the country know it. I had never seen it in print till lately.'

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Belden does not provide a tune.