- May 2 Gustav Landauer, German socialist, dies
- May 4 Milan Rastislav Štefánik, Slovak politician, French general and astronomer (b. 1880)
- May 6 (Lyman) L. Frank Baum, American author (The Wonderful Wizard of Oz), dies of a stroke at 62
- May 9 James Reese Europe, American ragtime and early jazz arranger, composer, and bandleader in New York, and with the military in France during WWI, dies of a stab wound (received during an argument with one of his drummers), at 38
- May 9 Ludwig Bösendorfer, Austrian piano builder, dies at 84
Henry John Heinz
May 14 Henry John Heinz, German-American entrepreneur who founded prepared-foods company (H.J. Heinz Company-57 varieties), dies at 74
- May 17 Bohumil Pazdírek, Moravian composer, dies at 80
- May 17 Guido von List, Austrian-German occultist and novelist (Jung Diethers Heimkehr), dies at 70
- May 17 José Santos Zelaya, President of Nicaragua (1893-1910), dies at 65
- May 20 Jacob Verdam, philosopher, dies
- May 21 Victor Segalen [Max Anely], French ship's doctor and writer, dies
- May 21 Yevgraf Fyodorov, Russian mathematician (b. 1853)
- May 24 Amado Nervo [Juan Crisóstomo Ruiz de Nervo], Mexican writer and poet, dies at 48
Madam C. J. Walker
May 25 Madam C. J. Walker [Sarah Breedlove], African American entrepreneur (First American self-made female millionaire, Madame C.J. Walker Manufacturing Company), dies of kidney failure complications at 51
