From 1977 and 1983 May worked at the Bank of England, and from 1985 to 1997 as a financial consultant and senior advisor in International Affairs at the Association for Payment Clearing Services. May's parents died during this period, her father in a car accident in 1981 and her mother of multiple sclerosis a year later. May served as a councillor for the London Borough of Merton from 1986 to 1994, where she was Chairman of Education (1988–90) and Deputy Group Leader and Housing Spokesman (1992–94).