UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                              Washington, DC 20549

                                    FORM 8-K

                                 CURRENT REPORT
     Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934


Date of report (Date of earliest event reported):  July 18, 2006


                              Jefferies Group, Inc.
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             (Exact name of registrant as specified in its charter)


           Delaware                       1-14947                95-4719745
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(State or other jurisdiction of         (Commission            (IRS Employer
        incorporation)                  File Number)         Identification No.)


    520 Madison Ave., 12th Floor, New York, New York             10022
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       (Address of principal executive offices)                (Zip Code)

Registrant's telephone number, including area code: 212-284-2550


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          (Former name or former address, if changed since last report)

     Check the appropriate box below if the Form 8-K filing is intended to
simultaneously satisfy the filing obligation of the registrant under any of the
following provisions (see General Instruction A.2. below):

|_|  Written communications pursuant to Rule 425 under the Securities Act (17
     CFR 230.425)

|_|  Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR
     240.14a-12)

|_|  Pre-commencement communications pursuant to Rule 14d-2(b) under the
     Exchange Act (17 CFR 240.14d-2(b))

|_|  Pre-commencement communications pursuant to Rule 13e-4(c) under the
     Exchange Act (17 CFR 240.13e-4(c))





Item 2.02.  Results of Operations and Financial Condition

On July 18, 2006, Jefferies Group, Inc. issued a press release announcing
financial results for the quarter ended June 30, 2006. A copy of the press
release is attached hereto as Exhibit 99 and is incorporated herein by
reference.

Item 9.01.  Financial Statements and Exhibits

     The following exhibit is furnished with this report:

     Number        Exhibit
     ------        -------
     99            July 18, 2006 press release issued by Jefferies Group, Inc.


                                   SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.


                                         Jefferies Group, Inc.


Date: July 18, 2006                      /s/ Roland T. Kelly
                                         -----------------------------------
                                             Roland T. Kelly
                                             Assistant Secretary


                                INDEX TO EXHIBITS

Exhibit No.       Description

99                July 18, 2006 press release issued by Jefferies Group, Inc.