- May 3 28th Kentucky Derby: Jimmy Winkfield on Alan-a-Dale wins in 2:08.75
- May 6 British SS Camorta sinks off Rangoon; 739 die
- May 6 Start of Sherlock Holmes "Adventure of Shoscombe Old Place" (BG)
- May 6 Zulu assault at Holkrantz, South Africa
- May 7 La Soufrière volcano on St Vincent kills 1,680 people
- May 8 Mount Pelée on the French overseas island of Martinique erupts, wiping out the city of Saint-Pierre, killing 30,000 and leaving only two survivors
- May 10 Portugal goes bankrupt, but its parliament passes a bill converting its external debt. Contributing to Portugal's troubles is recent revolt in its colony of Angola, put down 6 September
- May 12 140,000 miners of anthracite coal in Pennsylvania go out on a strike called by the United Mine Workers after the owners have refused to recognize the UMW, negotiate or submit to arbitration
- May 15 Lyman Gilmore is 1st person to fly a powered craft
- May 15 "Bailundo Revolt" begins after Ovimbundu kingdom & allies revolt against Portuguese Empire in Benguela Highlands, central Portuguese Angola
- May 16 2 deaf-mutes face each other for 1st time as Dummy Hoy leads off for the Reds against Dummy Taylor of the Giants, Reds win 5-3
- May 17 Greek archaeologist Valerios Stais discovers the Antikythera mechanism, an ancient mechanical analog computer
- May 19 Great Britain and Boers resume peace talks in Pretoria
- May 20 United States withdraws its troops from Cuba as the first Cuban president, Tomas Estrada Palma takes power
- May 22 36th Belmont: John Bullman aboard Mastermam wins in 2:22.6
Treaty of Interest
May 22 US President Theodore Roosevelt signs a treaty with Mexico under which both countries agree to submit a long-standing dispute over interest payments to the Court of Arbitration at The Hague
Theodore Roosevelt
- May 24 Empire Day 1st celebrated in Britain
- May 24 Cleve's Bill Bradley is 1st ALer to hit a HR run in 4 consecutive games, not duplicated until Babe Ruth does it June 25, 1918
- May 27 27th Preakness: L Jackson aboard Old England wins in 1:45.8
- May 29 Dutch State Mine law forms
- May 30 Spanish King Alfonso XII, who was elected as a constitutional monarch, suspends the Cortes, Spain's parliament
- May 31 Australia Cricket all out 36 v England, Edgbaston, their lowest ever
- May 31 Boer War Ends; Treaty of Unity signed, Britain annexes Transvaal
- May 31 Labor trouble and riots lead Spanish King Alfonso XII to impose martial law