At the time the Union soldiers approached Davis’ camp, he was wearing grey trousers and coat. He had on riding boots and spurs. Davis’ wife, Varina, said about the event at a later date, “I pleaded with him to let me throw over him a large waterproof which had often served him in sickness during the summer as a dressing gown, and which I hoped might so cover his person that in the grey of the morning he would not be recognized. As he strode off I threw over his head a little black shawl which was round my own shoulders, seeing that he could not find his hat…”

Another note on the capture of President Davis shows what those “great, noble Union soldiers” were really like:

“Another group of Union soldiers arrived and saw other soldiers in the camp tearing everything apart searching for anything of value. Afraid they would find the gold first, they opened fire. Union soldier shooting at union soldier. The commander eventually was able to stop the gun fire. There was no gold reported.”

Source: http://wiki.answers.com/Q/Was_Jefferson_Davis_wearing_a_dress_when_he_was_captured

That is a far cry from the Yankee lore of President Davis being some kind of cross-dressing coward.