- May 1 Canada's 1st silver dollar is circulated
- May 4 61st Kentucky Derby: Willie Saunders aboard Omaha wins in 2:05
Event of Interest
May 5 Jesse Owens of US sets long jump record at 26' 8½"

Jesse Owens
- May 6 KTM-AM in Los Angeles California changes call letters to KEHE (now KABC)
- May 6 Pulitzer prize awarded to Audrey Wurdemann (Bright Ambush)
- May 8 Cincinnati Red Ernie Lombardi doubles in 6th, 7th, 8th & 9th beat Phils 15-4
- May 11 60th Preakness: Willie Saunders aboard Omaha wins in 1:58.4
- May 14 LA's Griffith Planetarium opens, 3rd in US
- May 14 Plebiscite in the Philippines ratifies independence agreement
- May 14 Northamptonshire County Cricket Club gains (over Somerset at Taunton by 48 runs) what proved to be their last victory for 99 matches, a record in the County Championship. Their next Championship win was not until May 29, 1939.
- May 15 Pirates beat Phillies 20-5
- May 15 The Moscow Metro is opened to public
- May 18 Harold Gimblett scores 123 in 80 mins on debut for Somerset
- May 19 NFL adopts an annual college draft to begin in 1936
Execution
May 19 English Cardinal John Fisher and statesman Thomas More, executed by Henry VIII, cannonised by Pope Pius XI

Henry VIII

Pius XI
- May 23 1st scheduled night game postponed due to rain (Cincinnati)
- May 24 1st major league night baseball game, in Cincinnati (Reds 2, Philadelphia 1)
- May 25 Track and field athlete Jesse Owens equals or breaks 4 world records in 45 minutes at a Big Ten meet at Ferry Field in Ann Arbor, Michigan. Remembered as "the greatest 45 minutes ever in sport".

Franklin D. Roosevelt
- May 29 French liner Normandie begins its maiden voyage, arrived in NYC on June 3rd
- May 29 Hague local museum opens
- May 30 Babe Ruth's final game, goes hitless for Braves against Phillies
- May 30 Indianapolis 500: Kelly Petillo wins in 4:42:22.771 (170.977 km/h)
- May 31 7.7 magnitude earthquake hits Quetta in Balochistan, British Raj (Pakistan) killing an estimated 50,000 people