Lincoln spent part of her childhood in Washington, D.C., when her father was Secretary of War from 1881 to 1885. She later lived in London, England, when her father was the Minister to Great Britain from 1889 to 1893. Jessie's brother, Abraham Lincoln II, died on March 5, 1890, in London at the age of 16, and three years later, the family returned to America, ultimately to Mary Eunice Harlan's mother's residence in Mount Pleasant, Iowa. Jessie and her sister were piano students in the summer session of Iowa Wesleyan in 1886. She was later initiated into the Pleasant Chapter A of the P.E.O. Sisterhood on December 31, 1895, an organization of which her sister, Mary "Mamie" Lincoln, had become a member more than 11 years prior.