See http://thelostcauseky.blogspot.com/2009/05/confederate-images-daring-jesse-col.html

And here is an interesting comment:

In his Bluegrass Confederate, The Headquarters Diary of Edward O. Guerrant, he mentions on January 31, 1865, “Omitted to mention that I met the celebrated or notorious Col. Jessee of K’y, on the road to Wytheville, to report to Gen. Breckinridge, who ordered him out of Ky. He looks well.”