The Orphan Brigade as most famous (the 2nd, 4th, 5th, 6th, and 9th Kentucky) wasn't formed until late 1862.
Originally, the brigade was composed of the 3rd, 4th, Hunt's 5th (later 9th), and 6th -- the original Orphan Brigade. The 2nd and 8th Kentuckies were at Fort Donelson, and the 7th was serving with Polk's/Cheatham's Corps. The ACTUAL 5th (Williams') was serving as the "Ragamuffin Regiment" in Eastern Kentucky under General Humphrey Marshall.
The 2nd and 8th were captured at Fort Donelson, and were not exchanged until later. The 7th was transferred to the Orphan Brigade, and Hunt's 5th was redesignated as the 9th.
Breckinridge's Reserve Corps was soon transferred to Mississippi, and broken up. In the fall of 1862, the 3rd, 6th, and 7th Kentucky were transferred to a new brigade under General Daniel Ruggles. After the battle of Baton Rouge, the 2nd and 8th were exchanged, and rejoined Breckinridge. The 6th and the 8th were swapped, and the 6th rejoined the 4th and the 9th in Helm's brigade, now also including the 2nd Kentucky. Breckinridge's Corps (reorganized as a division) was transferred back to Bragg's army, and the 3rd, 6th, and 7th Kentuckies remained in Mississippi, serving under Loring at Champion Hill and Jackson. They were later mounted to form Forrest's Kentucky Brigade.
Just a snippet of the few months that the Orphan Brigade, plus and minus a few regiments, served in Mississippi