 The four played together for the first time in a room below a record store on Gerrard Street in London . Page suggested that they attempt " Train Kept A @-@ Rollin ' " , originally a jump blues song popularised in a rockabilly version by Johnny Burnette , which had been covered by the Yardbirds . " As soon as I heard John Bonham play " , Jones recalled , " I knew this was going to be great ... We locked together as a team immediately " . Before leaving for Scandinavia , the group took part in a recording session for the P. J. Proby album , Three Week Hero . The album 's track " Jim 's Blues " , with Plant on harmonica , was the first studio track to feature all four future members of Led Zeppelin . 
