There are six untitled score pieces composed by Cave and Ellis which do not appear on the retail soundtrack. They include:
2 pieces from the end credits of the film, played after "What Must Be Done"
2 pieces available for listen on the official website (tracks 12 and 13), streaming audio.
1 piece played during the DVD menu and heard throughout the movie, a slightly quirkier rendition of the track "Moving On".
1 piece, notable for being the eerie, vacant sound heard during the intense moments in the film, such as: when Jesse holds up his lantern awaiting the Blue Cut train, when the screen introduces "April 3rd, 1882", and when Bob sees the headline of the newspaper on assassination day.
There is a song played by a busker in a bar, played by Nick Cave, towards the end of the film entitled "Jesse James" or "The Ballad of Jesse James". This was written by Billy Gashade in 1882 and has been modified and covered by Uncle Dave Macon in 1929, Ken Maynard and The Sons of the Pioneers in the 30s, Woodie Guthrie in 1940, Burl Ives in the 1940s, Ramblin' Jack Elliott, Cisco Houston, The Kingston Trio, Eddie Arnold, Bob Seger in 1972, Ry Cooder in 1980 and Van Morrison in 1998 to name only the most significant.
Cave and Ellis released a double disc album titled White Lunar in September 2009, which contains several tracks from the Jesse James score, as well as tracks they composed for other films up to 2009.