Brewer's histories are available from the ADAH --
http://www.archives.state.al.us/referenc/alamilor/mil_org.html
The story of President Davis and his escort will be found in An Honorable Defeat: The Last Days of the Confederate Government by William C. Davis.
The Mississippi regiments that will interest you are Miller's 9th, Inge's 10th and Perrin's 11th --
http://www.mississippiscv.org/MS_Units/mississippi_history.htm
Courtesy of Ken Jones, here's a series of articles concerning the 2nd Alabama Cavalry, the other regiment in Ferguson's brigade --
Ryan, Harriet Fitts, "The Letters of Harden Perkins Cochrane, 1862-1864," in Alabama Review. Pt. 1: VII, no.4 (October, 1954), 277-94; Pt. 2: VIII, no.1 (January, 1955), 35-70; Pt. 3: VIII, no.2 (April, 1955), 143-52; Pt. 4: VIII, no.3 (July, 1955), 219-28; Pt. 5: VIII, no.4 (October, 1955), 277-90.