Dot covered the basics... Jesse James was living in St. Jospeh, Missouri at the time. The event occurred on April 3, 1882 and at the time he was 34 years old. He was living under an alias at the time. Neighbors knew him as Thomas Howard.
As with other infamous figures, stories began to circulate that it was not Jesse James that had been assasinated and the body in a grave at Kearney, Missouri wasn't his. However, in 1995 forensic scientist James Starrs exhumed the outlaw's body at Kearney, MO, for DNA tests. The results showed a 99.7% certainty that it was Jesse James. Artifacts from the grave are now on display including the coffin handles, a small tie pin Jesse James was wearing the day he was killed; a bullet removed from his right lung area; and a casting of his skull, showing the bullet hole behind his right ear. (Source: City of St. Joseph History).
James was not to be pitied nor eulogized... he and his brother and friends had been vicious guerrillas killing many civilians in cold blood during the U.S. Civil War.