First published in Pills to Purge Melancholy (1719)
This is the note from Ford's Vagabond Songs and Ballads from Scotland 1899.
Jim Carroll

"This good old ballad, at one time a universal favourite, is still distinctly popular in many country districts of Scotland. The hero whose exploits it celebrates, and whose death it pathetically deplores, was a man named Patrick Macgregor, but more familiarly Gilderoy (Gillie Boy—the red-haired lad), whose life and morals, like those of his more illustrious namesake and kinsman, were framed on
"The good old rule, the simple plan, That they should take who have the power, And they should keep who can."
Gilderoy was, in fact, a noted freebooter, or cattle-lifter, who flourished in the seventeenth century, and was the leader of a gang of caterans who practised stouthrief and robbery with violence far and wide, but chiefly in the Highlands of Perthshire and Aberdeenshire. In February, 1636, seven of his accomplices were taken, tried, condemned, and executed at Edinburgh. They were apprehended chiefly through the exertions of the Stewarts of Athole; and, in revenge, Gilderoy burned several houses belonging to the Stewarts, which act proved his speedy ruin. A reward of a thousand pounds was offered for his apprehension, and he was soon taken, along with five more accomplices (some accounts say ten), and the whole gang were executed at the Cross of Edinburgh on the 27th July, 1636, the leader, as a mark of unenviable distinction, receiving a higher gibbet than the others—a circumstance which is alluded to in the ballad. Some wonderful stories are told of this wild cateran (most of which, however, should be taken with a grain of salt), such as his having picked the pocket of Cardinal Richelieu while he was celebrating high mass in the Church of St. Dennis, Paris; his having carried off, with consummate assurance, a trunk of plate from the house of the Duke Medina-Celi, at Madrid; and his having attacked Oliver Cromwell and two servants while travelling from Portpatrick to Glasgow, and shooting the Protector's horse, which fell upon him and broke his leg, whereupon he placed Oliver on an ass, tied his legs under its belly, and dismissed the pair to seek their fortune. Cromwell first visited Scotland in 1648, and Gilderoy was executed in 1636. The dates disprove the story.
The ballad is said to have been originally composed by the hero's mistress, a young woman belonging to the higher ranks of life, who had become attached to the noted cateran, and was induced to live with him. It is to be found in black letter broadsides as far back as 1650. The foregoing improved version— and the one always sung—was first printed in Durfey's Pills to Purge Melancholy, Volume V., 1790, and is thought to have been re-set by Lady Wardlaw, authoress of the well-known ballad of " Hardyknute." The original, according to Percy, contained "some indecent luxuriances that required the pruning-hook."
Gilderoy, it may be mentioned, has been the subject of more than one prose romance that have been written within the present century, but, such is the power of words which move in rhythmic order, the simple ballad story can never be overlaid by them. This, which has lived through many vicissitudes, will still survive."