Near the beginning of the episode, when Dan arrives in Socorro, New Mexico, he is unshaven and wearing a light colored shirt. During the climax he is clean shaven (except for his mustache) and wearing a dark, checkered shirt. However, moments later, in the final scene, when Dan rides out ofBentham's ranch he is back to being unshaven and wearing the same light shirt he did when eh arrived in town.
In the first episode, just four episodes previously, it is established that the year is 1879. It is mentioned that Jesse's brother Charley died recently in this episode, and in real life Charley died in 1884. It's clear that this episode isn't set five years after the premiere episode.
The song the Guitar Player (Tony Romano) is singing through the episode is based on the popular poem of the time, "The Ballad of Jesse James". through the years, songs based on the poem have been recorded many times, by artists such as, Woody Guthrie, Pete Seeger, and Bruce Springsteen, to name a few.