Caterpillar(?) in Leaf Cocoon identification - Missouri
This is the larvae (caterpillar) of a bagworm moth (family Psychidae). 



 Source: Wikimedia Commons; Credit: Bernard DUPONT 

From Wikipedia:


  The caterpillar larvae of the Psychidae construct cases out of silk and environmental materials such as sand, soil, lichen, or plant materials.


There are about 240 genera, so I will leave IDing to lower taxonomic levels up to you. However, based on the striations of the caterpillar and your lcoation, the Evergreen Bagworm Moth doesn't seem like a bad guess...