When Frank breaks Jesse out of jail, it's clear that the action is taking place at night. The note mentions 12 and the characters repeatedly say "tonight" "before this night is over," etc; but when Jesse and Frank emerge from the jail, it is broad daylight.
On the river bank, when Jesse James bids farewell to Pinkie, the latter changes place, from beside the mule, with his hand on its back, to the front of the mule, holding the rein, between shots.
The movie shows a bomb killing Frank and Jesse's mother. In reality, the bomb thrown through the window by the Pinkerton agents killed their little brother and seriously wounded their mother, who survived although she lost an arm in the explosion.
Jesse is depicted as treating his slave in a congenial fashion. In fact, his parents owned seven slaves. They were passionately pro-secession, pro-slavery, and during the war the James brothers were violent extremists.
On two occasions, the newspaper editor dictates his editorials directly to the typesetter, and faster than the typesetter can work.. This is for dramatic effect, as a realistic portrayal would have been impractical.
In Newspaper office, the editor is dictating a story while the woman at the composing stick is setting the type letter by letter. While the editor dictates about 50 words, the composer is only able to set about 6 letters.
After Jesse is busted out of jail, in the head-on shot of Frank and Jesse riding while being chased by the posse, road dust from the camera truck is visible ahead of them.