As the Civil War drew to a close, Jefferson Davis (1808-1889), president of the Confederate States of America, fled Richmond with his cabinet in early April 1865 and began a trek southward with federal troops in pursuit. While still weighing the merits of forming a government in exile, Davis was captured by Union soldiers near Irwinville, Georgia, in early May 1865 and was indicted for treason against the United States government on 24 May.
Whether by accident or design, Davis was wearing his wife's dark gray raglan (a short-sleeved cloak) and black shawl when he was captured. Although one of Davis's own aides was persuaded his chief had indeed disguised himself as a woman to abet his escape, First Lady Varina Howell Davis (1826-1906) was incensed at accusations of her husband's cowardice in the Northern press. Her letter to the powerful Montgomery Blair (1813-1883), a friend of earlier years and postmaster general under President Abraham Lincoln (1809-1865), provides a firsthand, detailed account of her husband's capture. Readers must decide for themselves whether the sequence of events was entirely coincidental or the efforts were calculated to deceive and were subsequently misconstrued by a wife's protective instincts.
Source: http://www.civilwarhistory.com/101899/DavisCapture/jefferson_davis_capture.htm
I have read in a number of places that this story of Davis dressing in his wife's clothing to avoid capture is nothing but typical Union lies and propaganda. On the other hand, there is a story that "Honest Abe" sneaked into the District of Columbia, to assume his presidency, in women's clothing. Of course, I can't vouch with absolute certainty for either; just because one reads it in a book doesn't make it so. I will try to locate some sources and get back to you.