Elsa Lay became involved with the Ketchum gang looking for more action. Cassidy did not like the Ketchums and they were not welcome at the WS Ranch where Cassidy was hiding.
Whatever the reason, Lay ignored Cassidy's advice and that ended his outlaw career. He left Cassidy to join the Ketchums in robbing the train near Folsom, New Mexico. First of all, the safe on the train was empty and things got worse after that.
After the robbery, the gang split up. Sam Ketchum and Lay went to a nearby hideout. Some reports claim Kid Curry was in on the robbery.