Exhibit 23.1


                            INDEPENDENT AUDITORS' CONSENT


The Board of Directors
Jefferies Group, Inc.

We consent to incorporation by reference in the Registration Statement on Form
S-3 of Jefferies Group, Inc. of our report dated January 20, 2003, relating to
the consolidated statements of financial condition of Jefferies Group, Inc. and
subsidiaries as of December 31, 2002 and 2001, and the related consolidated
statements of earnings, changes in stockholders' equity and comprehensive
income (loss) and cash flows for each of the years in the three-year period
ended December 31, 2002, which report appears in the December 31, 2002 annual
report on Form 10-K of Jefferies Group, Inc., and to the reference to our firm
under the heading "Experts" in the prospectus.



/s/ KPMG LLP

Los Angeles, California
July 15, 2003