May was a passionate socialist and feminist. In 1907 she was instrumental in the founding of the Women’s Guild of Arts. The group was set up in opposition to the exclusively male Art Workers’ Guild. May explained in an address to the Guild in 1907; “As I understand it, we are a body of women joined together as such, men always having their own organisation, to do what we are doing i.e. to keep to the highest level the arts by which and for which we live, to keep fresh and vital the enthusiasm, the belief – all the things which are the impetus of human endeavour.”
The Guild held regular meetings and lectures and exhibited the work of its members at such impressive venues as The Arts and Crafts Exhibition Society and the Royal Academy. Many notable female artists were members, including; Evelyn De Morgan (painter), Georgie Gaskin (jeweller), Mabel White (sculptor), Katherine Adams (bookbinder), Mary Annie Sloane (artist and engraver) and Marianne Stokes (oil painter). The Guild remained active until the early 1940s, disbanding as similar organisations began to admit both sexes.