Jedburgh Castle is no more, having been demolished in 1409. However, it's ghost story pre-dates this and is possibly one of Scotland's oldest supernatural stories. In 1285, a wedding between King Alexander III and Iolande of Dreux was taking place at the castle, when it was interupted by a shrouded figure wearing a hood and mask. It was believed to have been a portent of death, as the King died 5 months later in a riding accident.
Jedburgh Castle Jail is now a museum that gives visitors a taste of what life was like in an 1820s prison, whilst also telling the story of the Royal Burgh of Jedburgh.
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For further information, please read Britain's Haunted Heritage by J.A. Brooks.