Jesse was a student at New York University from from 1889 to 1890 and a student at Princeton in 1893. He later attended Universities in Berlin, Gottingen and Leipsic. He was a Professor of Latin at Princeton from 1902 to 1907. He was appointed as the director of the American Academy in Rome in 1912. He was the author of many books, including, The Religious Life of Ancient Rome and The Religion of Numa. He died from paralysis caused by sunstroke in Bologna while on an aid mission to the Italian front.