Just to keep us on our toes, the Traditional Ballad Index entry for Jesse James II covers the Digital Tradition Jesse James (3). The Digital Tradition version is from McNeil's Southern Folk Ballads. Here's the Traditional Ballad Index entry:

Jesse James (II) [Laws E2]

DESCRIPTION: The song starts with an account of James's robbery of the Pittsfield bank. The account of the murder is circumstantial and unflattering. James is planning a robbery; he knocks down his wife's picture; Robert Ford shoots him in the back
AUTHOR: Words: Roger Lewis? Music: F. Henri Klickmann?
EARLIEST DATE: 1911
KEYWORDS: outlaw robbery death marriage
HISTORICAL REFERENCES: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,So,SE) Canada(Ont)
REFERENCES (11 citations):
Laws E2, "Jesse James II"
Randolph 132, "Jesse James" (of Randolph's 6 texts plus 1 excerpt, Laws considers only Randolph's "B" text and tune to belong to E2, though the excerpt "C" is apparently also part of it)
BrownII 243, "Jesse James" (4 texts plus 3 excerpts and mention of 3 more; of these, only "I" is this song; "A," "B," and probably "G" are "Jesse James (I)")
Hudson 99, pp. 235-237, "Jesse James" (2 texts plus a fragment and mention of 3 more; the "A" text is Laws E2; the "B" text and "C" fragment are Laws E1)
Lomax-ABFS, pp. 128-131, "Jesse James" (2 texts, 1 tune, but only the second text, to the tune of Casey Jones, is this ballad; the first text and tune is Jesse James I, Laws E1)
Burt, pp. 192-193, "(Jessey James)" (1 text)
Fife-Cowboy/West 93, "Jesse James" (5 texts, 2 tunes; this is the "D" text)
Abrahams/Foss, pp. 130-131, "Jesse James" (1 text, 1 tune)
McNeil-SFB1, pp. 60-65, "Jesse James" (2 texts, 2 tunes)
Fife-Cowboy/West 93, "Jesse James" (5 texts, 2 tunes, of which the "C" text is Laws E2 and the others are distinct)
DT 620, JESSJAM3*
Roud #2241
RECORDINGS:
George Reneau [actually sung by Gene Austin], (Vocalion 14897, 1924; on RoughWays2)
The Vagabonds, "The Death of Jesse James" (Montgomery Ward M-4443, 1934)
CROSS-REFERENCES:
cf. "Jesse James (I)" [Laws E1] and references there
Notes: Much more even-handed than the commonly-found Jesse James ballad, this song shows James as he really was: A robber whose deeds caused people in their homes to "shake with fright" when they heard of them.
McNeil reports that this piece was copyrighted on April 3, 1911 by Klickmann and Lewis, then on May 15 by Will Rossiter. McNeil believes the Klickman/Lewis claim of authorship to be legitimate; Norm Cohen (more probably in my opinion) thinks they cashed in on an existing piece. The Klickman/Lewis words can be sung to the tune of "Casey Jones," and has been collected with that melody, although that is not the tune indicated in the original sheet music. McNeil gives a third melody as well.
Laws lists the characteristic opening verse/chorus of this song as:
Now people may forget a lot of famous names
But every nook and corner knows of Jesse James.
They used to read about him in their homes at night;
When the wind blew down the chimney they would shake with fright.
However, it appears that the most characteristic first line is "Way down in Missouri lived a bold bad man." - RBW
File: LE02

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