I really dont belive Jessie James had anything to do with the KGC though.
From texas handbook
http://www.tsha.utexas.edu/handbook/online/articles/KK/vbk1.html
KNIGHTS OF THE GOLDEN CIRCLE. The Knights of the Golden Circle was a secret antebellum organization that sought to establish a slave empire encompassing the southern United States, the West Indies, Mexico, and part of Central America, an area some 2,400 miles in diameter-hence the name Golden Circle. The Knights hoped to control the commerce of the area and have a virtual monopoly on the world's supply of tobacco, sugar, and perhaps rice and coffee. The association was organized in 1854 by George W. L. Bickley, a Virginia-born doctor, editor, and adventurer living in Cincinnati. It grew slowly until 1859 and reached its height in 1860. The membership, scattered from New York to California, was never large. Like other such secret societies, the Knights had an elaborate ritual, but the organization was poorly financed and even more poorly led. Bickley's main goal seems to have been the annexation of Mexico. Hounded by creditors, he left Cincinnati in the late 1850s and traveled through the East and South promoting a filibustering expedition to seize Mexico and establish a new domain for slaveholders. He found his greatest support in Texas and managed within a short time to organize thirty-two "castles," or local chapters, in cities that included Houston, Galveston, Austin, San Antonio, Jefferson, and La Grange. Among his prominent Texas supporters were Alfred M. Hobby, Elkanah Greer, George Cupples, Trevanion Teel,qqv and Capt. John B. Lubbock. Bickley received some favorable newspaper coverage in the Texas papers, and for a time courted Governor Sam Houston,qv who was reportedly initiated into the group. Houston, however, was opposed to the KGC's anti-Union stand and ultimately refused to throw his support behind it.
In the spring of 1860 the group made the first of two attempts to invade Mexico from Texas. A small band reached the Rio Grande, but Bickley failed to show up with a large force he claimed he was assembling in New Orleans, and the campaign dissolved. In April some KGC members in New Orleans, disgusted by Bickley's inept leadership, met and expelled him, but Bickley called a convention in Raleigh, North Carolina, in May and succeeded in having himself reinstated. He attempted to mount a second expedition to Mexico later in the year, but with Abraham Lincoln's election he and most of his supporters turned their attentions to the secessionist movement. Bickley served for a time as a Confederate surgeon and was arrested for spying in Indiana in July 1863. He was never tried but remained under arrest until October 1865 and died, broken and dispirited, in August 1867.
The KGC quietly dissolved during the war. Some at the time claimed that the organization operated as a fifth column in the North, and in the 1864 political campaign Republicans accused some antiwar Democrats of being secret members of the group. The charges, however, were largely unfounded, and although KGC forms and symbols were sometimes used by other groups, the Knights evidently had no organization in the Northern states; they did operate in Kentucky, a "border state." After the war sporadic reports of KGC activities cropped up, some of them as far west as West Texas and Oklahoma Territory, but by that time, for all intents and purposes, the organization had ceased to exist.