There's a long entry about Jerry and the roles he took for the Muppets on the Muppet Wiki, at:

http://muppet.wikia.com/wiki/Jerry_Nelson

There is a note on Jerry's starting with the Muppets in 1965 in the Jim Henson Red Book:

http://www.henson.com/jimsredbook/2011/12/03/121-51965/

In addition to doing the Chrysler Show at the 1964 World's Fair, Jerry had also performed as a puppeteer, doing traditional puppets, at the Bill Baird theater in the Village.