I'm currently involved in setting up a Jenkins-based build for our project and I've found that the popular Git plugin for Jenkins takes the slightly weird approach of git init+fetch instead of git clone when setting up the repo on agent machines.
This appears to break Git LFS as all the binary files are still only the reference pointer files.
The plugin does not currently appear to have any advanced options to force git cloning and there are a number of aged active tickets for the plugin to support it.
I have raised an issue ticket over at Git LFS to discuss options with regards to this problem, which can be viewed here. It is not an issue for them to resolve, however they may be helpful in providing advice on how to best solve the problem for the plugin that provides minimal impact.