- May 3 [Karl Eduard] Wilhelm Groener, German general, dies at 71
- May 11 Yevgeny Miller [Eugen Ludwig Müller], Baltic German general and a leader of the anticommunist White Army during and after the Russian Civil War, executed at 71 after being kidnapped in Paris by Soviet intelligence and taken to Moscow where he was tortured and eventually shot
- May 13 Stanislaw Lesniewski, Polish logician and mathematician (Warsaw School of Logic), dies at 53
- May 13 Wilhelm Normann, German chemist (hydrogenated liquid fat creating trans fat), dies at 69
- May 20 Joe Carr, American Pro Football HOF contributor (NFL President 1921-39), dies from a heart attack at 59
- May 22 Ernst Toller, German playwright, commits suicide at 45
- May 22 Jiri Mahen, Czech author (b. 1882)
- May 25 Joseph Duveen, British art connoisseur (Elgin marbles), dies at 69
- May 26 Charles Horace Mayo, American surgeon and co-founder (Mayo Clinic), dies at 74
- May 26 Cornelis Jacobus Snijders, Dutch military leader - Supreme Commander of Dutch Navy (1910-18), dies at 86
- May 27 Joseph Roth, Austrian-Jewish journalist (Fluctuate ohne Ende), dies of pneumonia at 44
- May 29 Ursula Ledóchowska, Polish-Austrian Catholic saint and foundress of the Ursulines of the Agonizing Heart of Jesus, dies of a carcinoma at 74
- May 30 Floyd Roberts, American auto racer, killed in a 100 mph crash during 1939 Indianapolis 500 at 39
Assassination
Car Crash
Hanging
Killed in Action
Plane Crash
Poisoning