You can’t blame Walt for suspecting the worse. Jesse himself was expecting to die, as well. And despite all his talk about not giving a damn about life and death, he sure seemed pretty tense.
But in the end, Mike wasn’t in the desert to dig Jesse a shallow grave. He was there to pick up a hidden stash of cash for Gus, and simply brought Jesse along for the ride.
If Mike’s goal was to kill Jesse, he must have been trying to bore him to death. The two spent the entire day driving around the Southwest picking up bags of cash. That’s a pretty monotonous job if the cash isn’t yours.
On the sixth and final stop, Jesse was confronted by a mysterious man with a shotgun. Rather than stick around to ask questions, he sprung into action, ramming the would-be bandit’s car, and making an escape…or so it would seem. In actuality, the entire confrontation was set up by Gus and Mike in order win Jesse’s trust. It seems Gus is hoping to build up Pinkman’s confidence and eventually turn him against Walt. Either that, or he just loves playing head games.