Born in Camden Town, London, May first acted at the age of 12 in 1988's A World Apart. The role earned her a best actress award at the Cannes Film Festival, shared with her co-stars Barbara Hershey and Linda Mvusi. She remains the youngest recipient of the award.

Other than a brief lull while studying English at Wadham College, Oxford, she has had near constant work in the subsequent two decades, and can regularly be seen on film, television and the British stage. She is often cast as an innocent abused, or an extremely intelligent woman having a breakdown.

Notable roles have included Alice Munro in Michael Mann's The Last of the Mohicans; as an incestuous lesbian in Sister My Sister; as Florence Banner in the BBC adaptation of Tipping the Velvet, Queen Anne Boleyn in the first adaptation of The Other Boleyn Girl, and as Sabina Spielrein in the play The Talking Cure.

May has also directed a short film, and has a script in development.