Here's another version, this time from Loye Pack . . . .

JESSE JAMES

Last Saturday night
The moon was shining bright
He robbed the Otterville train
He was a dirty little coward
Who shot Mr. Howard
And he laid Jesse James in his grave

Jesse had a wife
Who mourned for his life
His children they were brave
He was a dirty little coward
Who shot Mr. Howard
And he laid Jesse James in his grave

'Twas Saturday night
The moon was shining bright
He robbed the Denver train
He was a dirty little coward
Who shot Mr. Howard
And he laid Jesse James in his grave

They went to the depot
It wasn't very far
The agent for to see
He fell upon his knees
And delivered up the keys
To Frank and Jesse James

This very song was made
By Billy Mosha
No sooner than the news arrived
They say there was no man
With the law in his hand
Could take Jesse James alive

Little Robert Ford
He was one of the gang
How his heart did crave
He ate of Jesse's bread
And slept on Jesse's bed
And he laid Jesse James in his grave

Jesse drew his belt
You bet he never felt
That his enemy was so nigh
But little Robert Ford
He did spy
And Jesse came tumbling from the chair

The ladies held their breath
When they heard of Jesse's death
They wondered how he came to die
He was shot upon the sly
By little Robert Ford
And they laid Jesse James in his grave

Source: Old Time Songs, Compiled by Loye Pack (n.d., probably mid-1930s), p. 52-53).

From Mountaineer Jamboree by Ivan Tribe (Lexington, Kentucky: University Press of Kentucky, 1984):

"Born Loye Donald Pack in Nashville, Tennessee, on June 3, 1900, the Cowboy apparently wandered around somewhat in his early adulthood and spent several years working on a ranch in Nebraska. He entered radio in January 1929, played in Columbus, Ohio, for a time, and began his career at WWVA on November 11, 1933" (p. 45).

Cowboy Loye apparently never recorded, his career cut short by his early death in 1941 due to a kidney ailment (ibid., p. 46).