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They call him that because when he went to school he was shy and the teacher asked him what his name is and he said "J.C. ma'am" very quietly and the teacher said "Okay Jesse" and Jesse was to shy to correct her and so it stayed as Jesse and he thought it sound fine so that is why they call him Jesse Owens instead of James Cleveland Owens.
His given names were James Cleveland and he was known as JC but his track coach heard 'Jesse' and the name stuck.