This is the first version of Jesse I in Sandburg's American Songbag. I gather it's the primary source for I Wonder Where My Poor Old Jesse's Gone, since the two songs share so many verses.
-Joe Offer-

Jesse James

It was on a Wednesday night, the moon was shining bright,
They robbed the Glendale train.
And the people they did say, for many miles away,
'Twas the outlaws Frank and Jesse James.

CHORUS
Jesse had a wife to mourn all her life,
The children they are brave.
'Twas a dirty little coward shot Mister Howard,
And laid Jesse James in his grave.

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

It was his brother Frank that robbed the Gallatin bank,
And carried the money from the town.
It was in this very place that they had a little race,
For they shot Captain Sheets to the ground.

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

It was on a Saturday night, Jesse was at home
Talking to his family brave,
When the thief and the coward, little Robert Ford,
Laid Jesse James in his grave.

How people held their breath when they heard of Jesse's death,
And wondered how he ever came to die.
'Twas one of the gang, dirty Robert Ford,
That shot Jesse James on the sly.—

Jesse went to his rest with his hand on his breast.
The devil will be upon his knee.
He was born one day in the county of Clay,
And came from a solitary race.