May was born on 1 October 1956 in a maternity hospital at 9 Upperton Road in Eastbourne, Sussex. May is the only child of Zaidee Mary (née Barnes; 1928–1982) and Hubert Brasier (1917–1981). Her father was a Church of England clergyman. May was educated at Oxfordshire primary and grammar schools in the State sector, and graduated the University of Oxford in 1977.