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): January 15, 2013

Jefferies Group, Inc.

(Exact name of registrant as specified in its charter)

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

(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):

On January 15, 2013, Jefferies Group, Inc. (the “Company”) entered into two purchase agreements (the “Purchase Agreements”) with Jefferies & Company, Inc., as representative of the several underwriters identified in Schedule A to each Purchase Agreement, whereby the Company agreed to sell $600 million aggregate principal amount of its 5.125% Senior Notes due 2023 (the “2023 Notes”) and $400 million aggregate principal amount of its 6.50% Senior Notes due 204 (the “2043 Notes” and, together with the 2023 Notes, the “Notes”) pursuant to the Company’s Shelf Registration Statement on Form S-3, as amended (File No. 333-181596). The closing occurred on January 18, 2013.

The foregoing summary of the Purchase Agreements is qualified in its entirety by reference to the text of the Purchase Agreements, copies of which are filed as Exhibits 10.1 and 10.2 hereto and are incorporated herein by reference.

The following exhibits are filed with this report:

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.

Date: January 18, 2013

INDEX TO EXHIBITS