- May 3 28th Kentucky Derby: Jimmy Winkfield on Alan-a-Dale wins in 2:08.75
- May 6 British SS Camorta sinks in a cyclone in the Gulf of Martaban near Rangoon with the loss of about 739 lives
- May 6 Zulu assault at Holkrantz, South Africa
- May 7 La Soufrière volcano on St Vincent kills 1,680 people
- May 8 Mount Pelée on the French overseas island of Martinique erupts, wiping out the city of Saint-Pierre, killing 30,000 and leaving only two survivors
- May 10 Dutch soccer club FC Blauw-Wit (Blue-White) is formed in the Kinkerbuurt area of Amsterdam; merge with VV De Beursbengels in 2015
- May 10 Portugal goes bankrupt, but its parliament passes a bill converting its external debt. Contributing to Portugal's troubles is recent revolt in its colony of Angola, put down 6 September
- May 12 140,000 miners of anthracite coal in Pennsylvania go out on a strike called by the United Mine Workers after the owners have refused to recognize the UMW, negotiate or submit to arbitration
Caruso's Covent Garden Debut
May 14 Italian tenor Enrico Caruso makes his Covent Garden debut opposite Nellie Melba in Giuseppe Verdi's opera "Rigoletto" in London
- May 15 "Bailundo Revolt" begins after Ovimbundu kingdom & allies revolt against Portuguese Empire in Benguela Highlands, central Portuguese Angola
- May 15 Lyman Gilmore is 1st person to fly a powered craft
- May 16 2 deaf-mutes face each other for 1st time as Dummy Hoy leads off for the Reds against Dummy Taylor of the Giants, Reds win 5-3
- May 17 Greek archaeologist Valerios Stais discovers the Antikythera mechanism, an ancient mechanical analog computer
- May 19 Great Britain and Boers resume peace talks in Pretoria
- May 20 United States withdraws its troops from Cuba as the first Cuban president, Tomas Estrada Palma takes power
- May 22 36th Belmont: John Bullman aboard Mastermam wins in 2:22.6
US, Mexico Agree Arbitration
May 22 US President Theodore Roosevelt signs a treaty with Mexico under which both countries agree to submit a long-standing dispute over interest payments to the Court of Arbitration at The Hague
- May 24 Cleve's Bill Bradley is 1st ALer to hit a HR run in 4 consecutive games, not duplicated until Babe Ruth does it June 25, 1918
- May 24 Empire Day 1st celebrated in Britain
- May 27 27th Preakness: L Jackson aboard Old England wins in 1:45.8
- May 29 Dutch State Mine law forms
- May 30 Spanish King Alfonso XII, who was elected as a constitutional monarch, suspends the Cortes, Spain's parliament
- May 31 Australia Cricket all out 36 v England, Edgbaston, their lowest ever
- May 31 Boer War Ends; Treaty of Unity signed, Britain annexes Transvaal
- May 31 Labor trouble and riots lead Spanish King Alfonso XII to impose martial law
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