This is the only record I could find of him.

Jesse P. Worrell, Captain, Company G, 10th Regiment Cavalry,8th Division, Missouri State Guard, commissioned December 19, 1861, age 48, born in Kentucky, resident of Harrisonville, Cass County, no further records
This information taken from Confed Archives, Chap. 1, Vol. 107-3/4, page 180

His file contains two Reference Cards, which state: See Confed. Archives, Chap. 2, Vol. 207, pages 248 & 252

M322: Compiled Service Records of Confederate Soldiers Who Served in Organizations from the State of Missouri