Exhibit 8.1

July 15, 2003

Jefferies Group, Inc.
520 Madison Avenue
12th Floor
New York, NY 10022

Re:      Registration Statement on Form S-3 for Common Stock, Preferred Stock,
         Depositary Shares, Debt Securities and Warrants

Dear Ladies and Gentlemen:

We have acted as United States tax counsel to Jefferies Group, Inc., a Delaware
corporation (the "Company "), in connection with the filing of a Registration
Statement on Form S-3, including the exhibits thereto (the "Registration
Statement"), under the Securities Act of 1933, as amended (the "Act") and the
rules and regulations promulgated thereunder, for the registration by the
Company of Common Stock, Preferred Stock, Depositary Shares, Debt Securities and
Warrants (the "Securities") having an aggregate initial offering price of up to
$1,000,000,000. Except as otherwise defined herein, capitalized terms are used
as defined in the Registration Statement.

In arriving at the opinion expressed below, we have examined originals, or
copies certified or otherwise identified to our satisfaction, of the
Registration Statement, the Indenture dated as of March 12, 2002, by and between
the Company and The Bank of New York, as trustee, as amended and supplemented by
the First Supplemental Indenture thereto, dated as of July 15, 2003, the Form of
Subordinated Indenture to be entered into by the Company and The Bank of New
York, as trustee, the Form of Depository Agreement, and such other documents and
records as we have deemed necessary.

We have also read and relied upon originals or copies, certified or otherwise
identified to our satisfaction, of such corporate records of the Company and
such certificates and representations of officers and representatives of the
Company, and we have made such investigations of law, as we have deemed
appropriate as a basis for the opinion expressed below. In our examination, we
have assumed the authenticity of original documents, the accuracy of copies and
the genuineness of signatures. We understand and assume that (i) each agreement
represents the valid and binding obligation of the respective parties thereto,
enforceable in accordance with its respective terms, and the entire agreement
between the parties with respect to the subject matter thereof, (ii) the parties
to each agreement have complied, and will comply, with all of their respective
covenants, agreements and undertakings contained therein and (iii) the
transactions provided for by each agreement were and will be carried out in
accordance with their terms.

Our opinion is based upon existing federal income tax laws, regulations,
administrative pronouncements and judicial decisions. All such authorities are
subject to change, either



                                                                     Exhibit 8.1

prospectively or retroactively. No assurance can be provided as to the effect of
any such change upon our opinion.

The opinion set forth herein has no binding effect on the Internal Revenue
Service or the courts. No assurance can be given that, if the matter were
contested, a court would agree with the opinion set forth herein.

Based upon the foregoing, we advise you that in our opinion, except as to
factual matters and subject to the qualifications and limitations set out in the
Registration Statement, the material United States federal income tax
considerations of an investment in the Securities are as set out in the
Registration Statement under the caption "United States Federal Income
Taxation."

In giving the foregoing opinion, we express no opinion other than as to the
federal income tax law of the United States of America.

We are furnishing this letter in our capacity as United States tax counsel to
the Company, and this letter is solely for the benefit of the Company. This
letter is not to be used, circulated, quoted or otherwise referred to for any
other purpose.

We hereby consent to the filing of this opinion as an exhibit to the
Registration Statement and to the use of our name under the caption "United
States Federal Income Taxation". In giving this consent, we do not admit that we
are acting within the category of persons whose consent is required under
Section 7 of the Act.

                                         Very truly yours,


                                         /S/ Morgan, Lewis & Bockius LLP