How others will see it. Classic film fans will immediately notice that the depiction of the James brothers is dubious. Jesse likely wasn't wasn't the romantic figure or anti-railroad hero he's made out to be, and perhaps Fonda wasn't his steadfast taciturn sidekick. Jesse likely didn't look like screen Adonis Tyrone Power, nor did he likely have a gorgeous wife of good character and noble disposition.
In real life, Jesse married his first cousin. He didn't murder his first man to avenge his late mother, since in fact his mother survived him. The James brothers were Southern rebels and slave-owners who terrorized pro-Union families in Missouri during the Civil War. Jesse's vendetta was against the Republicans, not the railroads.
But classic film fans won't care, because they know it's just a movie, and not a Biography program on A & E. They will enjoy the young Henry Fonda and the familiar character actors, such as western leading man Randolph Scott, Jane Darwell (The Grapes of Wrath), Brian Donlevy (Destry Rides Again), and John Carradine and Donald Meek (both from Stagecoach).
In addition to the cast, there's action, suspense, and treachery. It's a western and a romance, since poor Nancy Kelly is torn between her loyalty to anti-hero Jesse and her desire for a stable, respectable family.
How I felt about it. A good cast and a Zanuck production often indicate a quality film, such as The Mark of Zorro (1940), which also starred Power. Jesse James isn't particularly good, not because it is revisionist history, but because the history is rewritten in painfully obvious ways.
For example, Randolph Scott is a lawman, but he virtually winks at Jesse James every time he sees him. Scott is clearly on James' side, even after he has shot a man dead, robbed train passengers, escaped from jail, etc. What kind of a lawman is that?
The newspaper publisher is a cartoon character, writing the same editorial every day suggesting that (railroad bosses, lawyers, dentists) be dragged into the street and shot like dogs. But not bank robbers. No sir, instead we give them a gravestone that looks like a smaller-scale replica of the Washington Monument.
(There were in fact newspapermen in Missouri who supported Jesse James during his life, because they shared the same enemy: the Republican-imposed Reconstruction government in Missouri. Not that the movie has even a hint of the real source of friction. Railroads, long past their critical day by 1939, made an easier target.)
A similar exaggeration has already been noted, the angelic wife who wouldn't swat a bug crawling on her kitchen table, yet she lives with Jesse for part of his crime spree, and shelters him afterward. Good thing the law never comes to her house to see if Jesse is there.
The glorification of western killers and bank robbers has more to do with the press than Hollywood. But Jesse James doesn't help matters.