Deb, does this help?
http://stlcin.missouri.org/history/peopledetail.cfm?Master_ID=1232
EXCERPT:
James McDonough was the first chief of police of St. Louis, appointed by the governor in 1861. He came to St. Louis in 1839 and worked as a city guard. In 1846, he retired and started a detective agency.
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Gay