Jessie of Team Rocket can be portrayed as rude, brash and mean. But this does not mean that she is an evil person. Jessie finds herself attracted to cute Pokémon and has been very concerned for her two teammates, James and Meowth. Her personality is mostly due to her childhood traumas, as in losing her mother at such a young age. But perhaps, the one that has opened up her protective heart the most is James.
She explains a lot about her past to him - In "Wherefore Art Thou Pokémon?", Jessie explains how she had past boyfriends and they all have broken her heart or left her. At the same time this also proves how she feels comfortable enough with James, since he hasn’t caused her such pain and misery.
Her violent ways do make way for a deep and caring heart. When Team Rocket was about to cross a fiery pit in the episode "Pokémon Shipwreck!", James wanted Jessie and Meowth to go without him. In order to make him snap out of it, Jessie slapped him repeatedly and told him that they would cross together. James then took hold of her arms, pleading "Please don't abandon me!". In response, Jessie consoled him by saying “Don't worry, I won't leave you...".
She even shows gratitude for James' actions, as seen in "The Tower of Terror". After Jessie is frightened by Ghastly she falls down a hole in the floor and lands on James (who had already fallen) - And gives him a simple yet sincere appreciation for it by saying "Thanks for breaking my fall".
Jessie does feel a type of protection with James, predominantly shown in "Showdown at the Poké-Corral". After seeing the mysterious Pokémon Mewtwo explode out of the Team Rocket headquarters, they find themselves face to face with their boss, Giovanni. Jessie shelters herself behind James when she sees him, showing that she finds safety with James even against someone as powerful as their Boss.
The young woman does display uneasiness when it comes to other woman around James. In "We're no Angels", a town resident named Kate had shown interest in James - At the end of the episode, James is seen talking to her and Jessie’s exclaims a worried "Oh no!". Even in "Holy Matrimony", Jessie was very upset that Jessiebelle was in the scene, telling him "that fiancé of yours is truly despicable" and was clearly upset at the end thinking that James was going to marry her. In "The Ghost at Maiden’s Peak" James is briefly love-struck by a maiden ghost and at one point begins to float away towards her direction. Jessie yells out to the ghost "Hey girl! You can't take him! You haven't got a ghost of a chance!" as she shoots at the ghost with a flame-thrower.
Jessie indeed has some sort of feelings for James, especially when looking to the fact that she’s been with him through thick and thin.