Believe you may be looking for Jerome or Gerome Little b Indiana married to Emily Dorrance? born 1866 Missouri.
Children include Frank, Herman, Jesse W., Howard and Marcia Ellen
He is on the Madison Co. Indiana Census in 1860 age 4, and 1870 Census age 14. I next found him in the 1900 census age 44 in Auburn Twsp, Sangamon Co. IL with wife Emily. he remains there in the 1910 and 1920 census. Springfield IL is in Sangamon Co.
Age in 1860: 4
Birth Year: abt 1856
Home in 1860: Adams, Madison, Indiana
Household Members: Name Age
Jesse Little 25
Malinda Little 23
William Little 6
Jerome Little 4
Sarah Little 1
John Collins 18
Jerome's Father was Jesse Little born 1832 in Perry Co Indiana to a John H. Little per the 1850 Census. Of note Jesse had a brother named Frank. Thus it appears that Jesse and Frank were family names and children were not necessarily named after the outlaws. Given ages I think it unlikely that this Jerome Little rode with the James brothers, perhaps his father or uncles did as they are the more appropriate age. I do not track any of these folks to Shelby Co. MO at first blush.