The guerilla band was formed in 1861 by William Quantrill and Frank is believed to have been a member of it by the fall of 1862. The circumstances which led Frank, who had been serving with the forces of Confederate leader Sterling Price, are not clear. Reportedly, he was captured, paroled and returned home. Later, he broke his parole and joined up with Quantrill's Raiders. It is also unclear when Jesse joined the guerrilla band, but it is believed to have been in the fall of 1863 as a result of abuse at the hands of the militia at the James farm.

Union troops, figuring Frank would return to the farm, came to the James home in May of 1863 searching for the guerrilla camp. Jesse was still at home at the time of the event. The Union soldiers beat Jesse severely because they felt he was delivering messages to the guerrilla camp. They demanded the boys stepfather, Dr. Samuel, to tell them were Frank and the guerrilla camp was located. Dr. Samuel was hanged from a walnut tree in the side yard when he refused to cooperate with the Union troops. After being pulled up and down three times, Dr. Samuel told them where the guerrilla camp was. He was then forced to lead them to the camp, which was along the creek in the woods close to the James' house, but the guerrillas had escaped. As a result of the hanging, Dr. Samuel suffered brain damage and his speech was impaired. As he became older, he became violent and eventually had to be institutionalized around the turn-of-the-century.

Zerelda Samuels was taken to jail for aiding the guerilla force and jailed. Dr. Samuels was unable to care for the children due to his injuries, and Jesse and his younger sister, Susan, were jailed and served time with their Zerelda. It was soon after this incident that Jesse joined his brother Frank.

Jesse was wounded twice in the chest during the Civil War. Jesse received a severe wound on the right side of his chest in August, 1864, but was able to take part in the Centralia massacre and slaughter of the company of Major A.V.E. Johnson in September. Over 100 soldiers were killed by the guerrillas, who lost only three men. According to an interview with Frank a number of years later for a Columbia newspaper, it was Jesse who fired the shot that killed Major Johnson.

In July, 1865, Frank James surrendered with several of Quantrill's men and were paroled on orders of General John M. Palmer. There is no record that Jesse ever surrendered, but the story repeated is that in May or June of 1865, he started with a group into Lexington to surrender under a white flag. Union soldiers fired on them and Jesse was shot in the chest. He fled, laying in a creek bed through the night to soothe a fever. He was found by a farmer the following day and friends helped to get him to his family, then staying in Rulo, Nebraska, having been banished from Clay County. Jesse was in bad health from this wound for more than two years.

At the close of the war, Frank and Jesse were not notorious. For over four years after the end of the war the James boys lived at the farm in Kearney and came and went as they pleased.

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