There has been discussion for years about whether Hendrix plays on the track "Mercy, Mercy" or not. Jimi himself told in at least one interview that he did a recording session with Steve Cropper, and showed him how he played "Mercy, Mercy". This has been confirmed by Steve Cropper. George Clemons and Don Covay himself have also stated that Hendrix played guitar on several Covay tracks.

Jon Tiven who has produced Covay also says that Hendrix played for Covay. However, whatever information he gives is second hand, as he only started working with Don Covay in 1985, and thus wasn't present or acting as a producer on the "Mercy!" -sessions.

Bob Bushnell is given as the guitar player for "Mercy, Mercy" on the liner notes of the cd release of the "Mercy!" lp (although Ronald Miller is credited with playing guitar elsewhere in the notes). The Atlantic Records session logs don't however list any personnel for the two dates that produced the first Rosemart single "Mercy, Mercy / Can't Stay Away", except crediting Bernard Purdie for drums on "Mercy, Mercy".  

Bushnell seems to have been very much in demand as a session player in the 60s, appearing on a huge list of legendary artists recordings. But almost always playing bass, very rarely appearing on guitar. The logs for the rest of the tracks on the lp cut in sessions in October 1964 vary between listing Bushnell on guitar or bass, and also list Billy Butler, Wally Richardson and Harry Jensen as guitar players.  

Thus it might be possible that even if Bushnell was playing guitar on the May 1964 sessions, that not being his main forte Hendrix was also enlisted for the session in order to bring in stronger guitar playing, with Bushnell maybe playing some of the rhythm parts.

Bushnell also played in King Curtis's band, along with two other musicians from the "Mercy!" sessions, Bernard Purdie and Horace Ott. This might have later had effect on Hendrix joining the King Curtis band.