- May 3 26th Kentucky Derby: Jimmy Boland aboard Lieut Gibson wins in 2:06.25
Jeffries KOs Corbett
May 11 James J. Jeffries KOs James J Corbett in 23 for heavyweight boxing title
- May 20 Second modern Summer Olympics (Games of the II Olympiad) opens in Paris and continues for 5 months
- May 24 34th Belmont: Nash Turner aboard Ildrim wins in 2:21ΒΌ
- May 25 Retired London fire master Eyre Massey Shaw aged 70 reputedly becomes oldest gold medalist in Olympics for sailing (disputed)
- May 29 25th Preakness: H Spencer aboard Hindus wins in 1:48.4
- May 31 Tom Hayward scores 1,000th cricket run of season (sets record 1074)