He participated in the American Civil War as a Confederate guerilla fighter

The border state of Missouri had a fierce battle during the Civil War, during which both sides routinely killed prisoners and civilians alike, dismembered enemy corpses, plundered property and cattle, and set cities and homes on fire. At the beginning of the war, Frank James served in the pro-secession Missouri State Guard. Later, he joined a group of Confederate guerrilla fighters called the "bushwhackers," who launched assaults against Union sympathizers on the frontier. A teenage Jesse was ambushed and his stepfather was hanged from a tree by Union militiamen searching for Frank and his fellow insurgents in May 1863 while he was at his family's farm. The stepfather is still alive.

In August of that year, Frank participated in a notorious raid on the Lawrence, Kansas, abolitionist community, during which more than 150 men and boys were slaughtered and other structures were demolished. By the age of 16, Jesse had joined the savagely violent group commanded by William "Bloody Bill" Anderson, following Frank as a roving bushwhacker. In a notorious September 1864 massacre in Centralia, Missouri, the rebels kidnapped and killed two dozen unarmed Union troops who were returning home on leave. Then they killed almost 100 federal troops who were pursuing them.

Jesse was wounded in the chest during a battle with Union forces close to Lexington, Missouri, in May 1865, one month after Confederate General Robert E. Lee's surrender at Appomattox Court House. Jesse eventually formed a gang with his brother and other former Confederate guerrillas to rob banks, stagecoaches, and trains after being nursed back to health by his cousin Zerelda "Zee" Mimms (whom he would marry in 1874 and have two children with).