Oh, just realized, this is not a JJ tune, it's a
blues standard. Have to look into the music of this mr. Nix, never heard any, I think.
Oh well, here's it anyways...
JJ plays it the key of A. Like mentioned in a set list post in this blog before.
The chords are:
A for the first "I'm going down" part...
then the walk down of A, G, D, C (close, that, boxcar, down ... or ... down, down, down, down) followed by some A...
D for the 2nd "I'm going down" part...followed by the walk down part again...
E chord for the "Got my big feet" part... followed by the walk down part again...
Here's some takes on the song:
Freddie King
(Looks like Nix, JJ and Freddie all were on Shelter label, btw)
Keith Richards
Jeff Beck 1983