May spent most of his career in the Second Regiment of Dragoons, but also had a brief stint in the First Regiment of Dragoons. As a lieutenant, he participated in the Second Seminole War, where he was responsible for the capture of an important tribal chief. During the Mexican War, he commanded a squadron during Zachary Taylor's expedition, and saw action in the Battles of Palo Alto, Resaca de la Palma, Monterrey, and Buena Vista. He distinguished himself in those actions and was eventually promoted to the rank of brevet colonel, with a permanent rank of major. May later served in various parts of the American frontier, including during the Bleeding Kansas crisis.