Jesse James is a member of the A Hole in the Ground Gang, which is a parody of the real life gang called 'A Hole in the Wall Gang'. Jesse James was the head of a real life gang. His oler brother Frank was also apart of his gang. Despite portrayls showing the gang was like Robin Hood (stealing from the rich and giving it to the poor), there is no evidence that they spent there money on anyone but themselves.
In Treehouse of Horror XIII, Jesse James travels with the 'A Hole in the Ground Gang' and terrorises the defenseless and gunless citizens of Springfield. This is until Homer travels back in time to warn the citizens before they recycle their guns. They then go the Springfield Cemetery and shoot at the graves of the members of the 'A Hole in the Ground Gang'. The gang then flees their graves and runs into the distance in a halo of gunfire.