Educated at Haileybury, May was commissioned into the Royal Fusiliers as a second lieutenant on 3 August 1898, and promoted to lieutenant on 2 August 1899. He served with the 2nd battalion in the Second Boer War, where he took part in the battles of Colenso (December 1899), engagements at Pieter's Hill, Hussar Hill and Hlangwani and the Relief of Ladysmith (February 1900); and later served in the Western Transvaal under Sir Archibald Hunter. May stayed in South Africa until the end of the war, and returned home on the SS "Assaye" in September 1902. For his service in the war he was noted for future promotion, which followed the next year when he was promoted to captain on 3 November 1903, with the brevet rank of major from the next day.