In 1881, May was appointed to a Hong Kong Cadetship after a competitive examination. In 1886, he became the Assistant Protector of Chinese and private secretary to Governor Sir William Des Vœux. He was also the private secretary to Acting Administrator Digby Barker from 1889 to 1891. May would hold the office of Assistant Colonial Secretary in 1891 and Acting Colonial Treasurer in 1892. He was made a member of the Legislative Council in 1895. From 1893 to 1901, May was the Captain Superintendent of the Hong Kong Police Force, and Superintendent of Victoria Gaol and Fire Brigade between 1896 and 1902. He was appointed to the position of Colonial Secretary for Hong Kong in April 1902, serving until 21 January 1911, and as such was appointed acting administrator of Hong Kong during transitions totalling almost a year between governors in 1903-1904 and 1907. In 1911, May was appointed Governor of Fiji and High Commissioner Western Pacific, a position he would hold until 1912.
Governor of Hong Kong
In 1912, May was appointed Governor of Hong Kong, a position he occupied in his own right until 1918. It was also his last post in the Colonial Service. May was the only Governor of Hong Kong to be the target of an assassination attempt. He was fired upon near the General Post Office as he rode in a sedan chair after arriving from Fiji in July 1912. May was not injured; the bullet lodged in the sedan of his wife. The gunman, Li Hung-hung, had a grudge against May. Several years before, this former Police Superintendent had imprisoned Li's father, an undesirable mainland immigrant. May used a car for daily transport from then onwards. On 22 January 1918, May personally negotiated with the remaining member of a gang holed up in the "Siege of Gresson Street", following a running gun battle through the streets of Wanchai in which five police officers were killed. In 1919, due to deteriorating health condition, May was relieved of his duty as the Governor.
Personal
May married Helena Barker in 1891. She was the daughter of Acting Administrator Major-General Digby Barker. They had four daughters, Stella, Phoebe, Iris and Dionne. Stella married General Philip de Fonblanque. Iris married Edward Hamilton Johnston the Sanskritist in the early 1920s. He died at Clare Priory, Suffolk, England. He is buried at Clare.