In the old west, a tool box carried aboard a stage coach where tools and odd parts were kept for emergency repairs.
Hammers, mallets, axle grease, spare wheel retainers, horse shoes, nails, ax and adz, water, odds and ends, etc. Any and all of these might be found in a jockey box.
meaning: glove box ( DJ box --> because you store your CDs in the glove box)
The CDs are in the jockey box.