- May 2 Gustav Landauer, German socialist, dies
- May 4 Milan Rastislav Štefánik, Slovak politician, French general and astronomer (b. 1880)
- May 6 Lyman Frank Baum, American author (The Wonderful Wizard of Oz), dies at 62
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
Henry John Heinz
- May 17 Bohumil Pazdirek, composer, dies at 80
- May 17 Guido von List, Austrian-German occultist and novelist (Jung Diethers Heimkehr), dies at 70
- May 20 Jacob Verdam, philosopher, dies
- May 21 Victor A D Segalen, [Max Anely], French ship's doctor/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
Madam C. J. Walker