Billy the Kid lives on, and I feel compelled to point this out, for technically, Billy is supposed to be dead. Pat Garrett shot him twice, in the same place that the real Pat Garrett shot (and killed) the real Billy the Kid. But if it wasn't already obvious that Season 3 of MGM+'s surprise hit was going to delve into the more conspiratorial aspects of the Kid's legend, Episode 6, "The Chain Gang," confirms it.

Billy's survival in context is plausible enough. After shooting him, Garrett had to hurry out of Pete's house before the Mexicans got wind of what had happened. He didn't see Billy gasp awake or see the Mexicans take him away, and in the absence of a body, he had to accept Pete's claims that Billy died on his floor and was taken away to be buried with dignity somewhere secret. It's a blow to Garrett's ego. He had staked his entire reputation on catching Billy the Kid, and in the absence of a corpse, rumors immediately began to circulate that he had failed.
There's nothing Garrett can do, though. The Mexicans he hauls in are tight-lipped, and Pete isn't saying anything either. While Billy recovers in isolation over a period of months, Garrett becomes increasingly obsessed with proving his death and his own bona fides in the absence of that. But nothing works. Catron doesn't buy Pete's story about what happened to Billy's body, and both denies paying out on the bounty and strips Garrett of his sheriff's badge. To strike back in the only way he can, Garrett tells Emily that he heard on the grapevine that Edgar's death wasn't a suicide. She believes him and wants to meet the informant who supposedly told him so, but Garrett overplays his hand by trying to use the information as a way to force himself on Emily. She demands he leave, at gunpoint, and even as he's clearing out his personal effects from his office, he's given the final indignity of a journalist asking him about the rumors of Billy's survival. Garrett promises to write a book about it - something that he actually did, albeit with a ghostwriter's help - but has no other options for the short term. He's ruined.
Meanwhile, Billy enjoys his convalescence, meeting his child and getting his strength back in relative peace. But he still has something he wants to do, something he's cagey about, and this mysterious thing can apparently only be accomplished with the help of Jesse Evans. There's just one small problem with that - Jesse was arrested in Texas for killing a Ranger and is serving time in a heavily fortified Federal penitentiary.
George embarks on a journey to Texas, armed with an open curiosity about Jesse and the prison that inevitably draws unwanted attention. Through the help of a seemingly sympathetic ally named John Selman, whose life Jesse is said to have saved, he pieces together a rescue plan. Jesse is currently assigned to a work detail on a road construction project outside the prison walls, under light guard supervision for several hours at a time. This presents the perfect opportunity for Selman and Billy, along with the rest of the Regulators, to set a plan in motion to free Jesse and the other prisoners.
In the process, one of their comrades, Juan, pays the ultimate price, but Billy's status as a cult figure has made his insistence on risking his life and that of his friends, despite several close calls with death and a family waiting back at home, a matter of course. Despite this setback, the mission is a success in every other regard, and Jesse is free to aid Billy in whatever perilous plan he has in mind.
What is that plan? With Catron's existence constantly on our radar, I suspect it will involve him. And given how Emily has garnered enough information from Garrett to be convinced he ordered Edgar's death, she'll have an opportunity to switch sides. We may be headed towards the complete disintegration of the House. The greater question lies in whether Billy will once again find himself in Garrett's crosshairs in the remaining episodes, and how closely MGM+ will adhere to historical accuracy in this regard.