- May 1 Philadelphia Athletics pitcher John Lush no-hits the Brooklyn Superbas, 6-0
- May 2 32nd Kentucky Derby: Roscoe Troxler aboard Sir Huon wins in 2:08.8
Historic Event
May 2 Tsar Nicolas II of Russia dismisses his moderate Prime Minister Witte and appoints Ivan Goremykin, a conservative bureaucrat
- May 3 British-controlled Egypt takes Sinai peninsula from Turkey
- May 6 "Temporary" permit to erect overhead wires on Market Street, San Francisco allows United Railroads to run electric streetcars
- May 6 Tsar Nicolas II of Russia claims right to legislate by decree and restricts the power of the Duma (Russian Parliament)
- May 8 Philadelphia A's pitcher Albert Bender is deployed to left field in 6th inning and responds with 2 HRs in A's 11-4 win over Boston Americans at Huntington Avenue Grounds, Boston
- May 10 Russian Duma (Parliament) meets for 1st time
- May 10 Italian King Victor Emmanuel & Swiss President Ludwig Forrer open Simplon tunnel
- May 13 Bezalel Art School opens in Jerusalem
- May 14 Flagpole at the White Sox ballpark breaks during pennant-raising
- May 15 NY Giants' Hooks Wiltse strikes out 4 batters in 1 inning
- May 17 Switzerland's Simplon Tunnel open to rail traffic
- May 19 Federated Boys' Club (Boys' Club of America) organizes
- May 19 Portugal's King Carlos I names Joao Franco premier
- May 21 Louis H. Perlman patents a demountable tire carrying rim for cars
- May 21 The US and Mexico sign an agreement over distribution of the waters of the Rio Grande, increasingly diverted to the US for irrigation
- May 22 31st Preakness: Walter Miller aboard Whimsical wins in 1:45
- May 22 Wright Brothers are granted a patent for their "flying machine," having applied for one 3 years earlier (patent no. 821,393)
- May 22 A British garrison leaves Esquimalt, on the Pacific coast, after a military occupation that began in 1858: the last British soldiers stationed in Canada
- May 25 After 20 straight wins, Boston Pilgrims lose to Chicago White Sox 3-0
- May 26 Archaeological Institute of America forms
- May 26 Vauxhall Bridge is opened in London, England
- May 27 1st outlining of Gustav Mahler's 6th symphony, in Essen, Germany
- May 28 Shields and Cobbs' musical "His Honor, The Mayor" premieres in NYC
- May 30 40th Belmont: Lucien Lyne aboard Burgomaster wins in 2:20
Historic Event
May 30 Hersheypark, founded by Milton S. Hershey for the exclusive use of his employees, is opened
- May 31 Assassination attempt on King Alfonso XIII & Victoria of Battenberg in Madrid during the procession after their marriage in Madrid by a Catalan anarchist kills 30