- May 2 French troops occupy Fès El Bali, Morocco
- May 9 Fire breaks out at Empire Theatre in Edinburgh, Scotland
- May 11 The United States becomes a signatory to the Buenos Aires copyright treaty
- May 12 American economic expert W. Morgan Schuster arrives by invitation to assume almost dictatorial power over Persia's finances; a move resented by Russia
- May 12 1st Inter-Empire Championships open in London
- May 13 37th Kentucky Derby: George Archibald aboard Meridian wins in 2:05
- May 13 NY Giant Fred Merkle is 1st to get 6 RBIs in an inning (1st)
- May 15 British House of Commons accept Parliament Bill
- May 15 Kappa Alpha Psi Fraternity, Indiana University, incorporates
- May 15 Supreme Court dissolves Standard Oil (Sherman Antitrust Act)
- May 15 The Georgios Averof cruiser is bought by Greece
- May 16 Remains of a neanderthal man found on Jersey, Channel Islands
Music Premiere
May 19 Maurice Ravel's opera "L'Heure Espagnole" premieres at the Opéra-Comique, Paris, France
Historic Event
May 23 NY Public Library building at 5th Avenue dedicated by President William Howard Taft
- May 25 Revolution in Mexico overthrows President Jose Porfirio Diaz
- May 26 Germany passes legislation organizing Alsace and Lorraine as an autonomous state with a legislature
- May 30 1st Indianapolis 500: Ray Harroun driving a Marmon Wasp for Nordyke & Marmon Company comes out of retirement, wins inaugural event; average speed: 74.602 mph (120.060 km/h)
- May 31 Mexican President Porfirio Díaz flees the country during the Mexican Revolution