May, who was born in Trinidad, studied at Valois's London ballet school and made her debut in 1934 with the Vic-Wells Ballet (which would later become Sadler's Wells, and then the Royal Ballet).
After a series of knee injuries, May retired from performing dance roles in 1952, although she continued in character roles and mime until she retired in 1982. She also taught at the Royal Ballet's school until 1977.