Washington, DC 20549

                                    FORM 8-K

                                 CURRENT REPORT
     Pursuant to Section 13 OR 15(d) of the Securities Exchange Act of 1934

Date of Report (Date of earliest event reported)           October 14, 2003

                              Jefferies Group, Inc.
             (Exact name of registrant as specified in its charter)

         Delaware                     1-14947                    95-4719745
----------------------------   --------------------------    ----------------
(State or other jurisdiction    (Commission File Number)      (IRS Employer
       of incorporation)                                     Identification No.)

520 Madison Avenue, 12th Floor, New York, New York                 10022
(Address of principal executive offices)                         (Zip Code)

Registrant's telephone number, including area code: 212-284-2550

          (Former name or former address, if changed since last report)

Item 12.  Results of Operations and Financial Condition.

On October 14, 2003, Jefferies Group, Inc. issued a press release announcing
financial results for the quarter ended September 26, 2003. A copy of the press
release is attached hereto as Exhibit 99.1.


Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.

                                                   Jefferies Group, Inc.

Date: October 14, 2003                             /s/ Joseph A. Schenk
                                                    Joseph A. Schenk
                                                    Executive Vice President and
                                                    Chief Financial Officer

                                INDEX TO EXHIBITS

Exhibit No.       Description
-------------     ----------------
      99.1        October 14, 2003 press release issued by Jefferies Group, Inc.