May had roles created for her both by Ninette de Valois, founder of the company that would eventually become the Royal Ballet, and Frederick Ashton, the company's artistic director. Those roles include the Red Queen in Checkmate and roles in Symphonic Variations, Dante Sonata, Horoscope, and The Wanderer, which featured a sensual duet with her then-lover Michael Somes.
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.