According to historian Peter D. Norton, the earliest known use of the word jaywalker in print was in the Chicago Tribune in 1909.

The term’s dissemination was due in part to a deliberate effort by promoters of automobiles to redefine streets as places where pedestrians do not belong.[1]

It is a compound word of the words jay and walk; in this context, jay is used in the obsolete slang sense, referring to a stupid or dull person, or a rube, i.e. someone from a rural area and not familiar with “city ways.”

At the time, vehicles and traffic signals were a new concept, gaining popularity in the larger cities, so this term would have been used to describe newcomers who were unfamiliar with these recent developments and by extension, to ridicule people who behaved like newcomers but should have known better.