The more I think about it, the more I realize… McCree’s outfit probably started as a coping mechanism. Hear me out. He was still basically a babe when he was running with the Deadlock gang, going off Ana’s backstory video placing him in Overwatch around about age 17. And judging from him jumping ship right away, and never even thinking of going back to a life of crime after Overwatch disbanded… I don’t think he liked it there. I don’t know if he was literally conscripted, or got in over his head and realized it was too late to back down, or what.
But you have young Jesse living a life of crime and looking for anyway out. Before he found that way out, he had to cope with the fact that he was a criminal, and had almost certainly perpetrated violent crimes (given his competence with a gun). He’s the bad guy and he knows it.
But you know what criminals aren’t bad guys? Cowboys, or at least, Hollywood cowboys. Outlaws living by their own code on the fringes of civilization, gunslinging, getting into fights, but always knowing where to draw the line. Chivalrous, polite at times. And cool, to a teenage kid with no role models to look up to. Jesse McCree the arms dealer? The thug? The killer? Naw. Jesse McCree the cowboy. That’s something his teenage mind could wrap itself around.
And he can’t let go of that identity because that’s all he has. There was nothing to be proud of about himself before that. And besides, it’s proven him right. He is a hero – hopping trains, dodging the law, shooting first, and still saving the day. Why would he ever give that up?