2

We see throughout the whole movie that Cheyenne follows Harmonica, but they first meet in the bar where they have a harmonica-talking conversation.

After that we see that Cheyenne meets Jill at her new house, but before that we also see that Jill hears him (at night when she was searching the house) which implies that Harmonica was already somewhere around house.

So we can agree that Cheyenne followed Harmonica and than meets Jill, but not following Jill from the bar.

My question is: What was Cheyenne's motive to follow Harmonica from the bar to Jill's house (or anywhere where Harmonica went)?

4

Because the killers from the start of the movie were posing as his men. From the plot synopsis on Wikipedia:

In a roadhouse on the way to Sweetwater, where he also encounters Mrs McBain, Harmonica informs Cheyenne that the three gunfighters appeared to be posing as Cheyenne's men.

Here is the relevant dialogue, as provided by WikiQuote:

Harmonica: I saw three of these dusters a short time ago. They were waiting for a train. Inside the dusters there were three men.

Cheyenne: So?

Harmonica: Inside the men there were three bullets.

Cheyenne: That's a crazy story, Harmonica, for two reasons. One, nobody around these part's got the guts to wear those dusters except Cheyenne's men. Two, Cheyenne's men don't get killed. That surprise you?

In the past, Frank has framed Cheyenne for several of his crimes and even planted evidence pointing to him at the McBain house.

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